Introduction to Mathematical Finance

3 credits · Undergraduate

(3 hrs Lecture) This course gives an introduction to the mathematics of finance, an area of applied mathematics concerned with financial markets. Topics include present value analysis; geometric Brownian motion and its suitability as a model of stock prices; option pricing; the Arbitrage Theorem; derivations of the Black-Scholes formula; and portfolio selection. The approach emphasizes underlying mathematical tools and their derivation. Restrictions: Students may not hold credit for this course and MATH-2413. Requisite Courses: MATH-1201, either STAT-1301, STAT-1401 or STAT-1501, and either MATH-1103, MATH-1101, or MATH-1102 [prerequisite(s)].