Mathematics of Financial Derivatives

3 credits

Pricing theory of financial derivative securities. Options and markets, present and future values, price movement modeled by Brownian motion, Ito's formula, parabolic partial differential equations, Black-Scholes model. Prices of European options as solutions of initial/boundary value problems for heat equations, American options, free boundary problems. [3-0-0] Prerequisite: All of MATH_O 221, MATH_O 319 and STAT_O 303.