Introduction to Financial Mathematics Derivatives
Prerequisites: (MATH 264 or MATH 266) and MATH 304.
The course provides an introduction to the mathematical theory of option pricing. We will rigorously derive option relationships using no arbitrage conditions, introduce rudimentary stochastic calculus and Brownian motion as models for stock prices, and give an introduction to methods for solving partial differential equations to give explicit Black-Scholes formulas.
Outcomes: The students will gain knowledge of the theory of options, bond and stock pricing, portfolio optimization, and will be exposed to other relevant applications of Mathematics to Finance.
The course provides an introduction to the mathematical theory of option pricing. We will rigorously derive option relationships using no arbitrage conditions, introduce rudimentary stochastic calculus and Brownian motion as models for stock prices, and give an introduction to methods for solving partial differential equations to give explicit Black-Scholes formulas.
Outcomes: The students will gain knowledge of the theory of options, bond and stock pricing, portfolio optimization, and will be exposed to other relevant applications of Mathematics to Finance.