Financial Mathematics

3 credits · Undergraduate

This course is an introduction to derivative pricing. Topics include: binomial tree model, stochastic calculus, Itô calculus, Black-Scholes model, market price of risk, log-normal models. PREREQUISITES: MATH 2060.03 and (MATH 2120.03 or MATH 2135.03), or permission of the instructor CROSSLISTED: ECON 3900.03