Financial Mathematics

3 Credits · Level: Graduate, Undergraduate

This is a MS level course on the mathematics of financial derivatives. It covers the modeling of underlying assets as Browning motions and the pricing of derivatives by the Black-Scholes analysis. Topics covered include present value, risk free rates, drift terms, asset price volatility, stochastic differential equations and applications both within finance and elsewhere, Merton Firm Value, partial differential equations (PDE) and risk analysis including value at risk. Both the PDE and binomial Black-Scholes pricing models are covered.