Mathematical Models in Finance (366-0-81)

Instructors

Maksym Radziwill

Meeting Info

Tech Institute Lecture Room 2: Mon, Wed, Fri 2:00PM - 2:50PM

Overview of class

Cash flow computations. Basic financial concepts (stocks, bonds, options, arbitrage, hedging) and put-call parity. Binomial tree models. Risk-neutral valuation. Random walk and Brownian motion as a tool of modeling fluctuations. Options pricing. Applications of the central limit theorem. The Black-Scholes formula and partial differential equation. Numerical approximations. Some familiarity with differential equations is desirable.
Prerequisites: MATH 240-0 or MATH 281-3 or MATH 285-1 or MATH 290-1 or MATH 291-1 or GEN_ENG 205-1 or GEN_ENG 206-1; and MATH 310-1 or MATH 311-1 or MATH 314-0 or MATH 385-0 or STAT 320-1 or STAT 383-0 or IEMS 202-0 or EECS 302-0.

Class Materials (Required)

ISBN: 978-0857290816
Title: Mathematics for Finance: An Introduction to Financial Engineering, 2nd Edition
Authors: Capinski and Zastawniak
Publisher: Springer

Class Materials (Suggested)

No suggested materials. See required materials

Class Attributes

Formal Studies Distro Area

Enrollment Requirements

Enrollment Requirements: Preregistration in this course is reserved for students who are majoring in Mathematics. Prerequisite: completed or currently enrolled in a course in the equivalency group containing MATH 240-0 AND completed or currently enrolled in a course in the equivalency group containing MATH 310-1.

Associated Classes

DIS - Lunt Hall 105: Tues 2:00PM - 2:50PM