Mathematical Models in Finance (366-0-83)

Instructors

Nicholas Christo

Meeting Info

Lunt Hall 107: Mon, Wed, Fri 2:00PM - 2:50PM

Overview of class

MATH 366-0 Mathematical Models in Finance (1 Unit) 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 for modeling fluctuations. Options pricing. The Black-Scholes formula and partial differential equation. 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 ELEC_ENG 302-0.

Class Materials (Required)

Mathematics for Finance
Capinski
2nd Edition
SV
9780857290816

Class Materials (Suggested)

No suggested materials. See required materials

Class Attributes

SoC Individual and Social Behavior Distro
SoC Mathematics, Science, and Technology Distro

Enrollment Requirements

Enrollment Requirements: 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 - 2001 Sheridan GPC/SESP 3447: Tues 2:00PM - 2:50PM

DIS - Locy Hall 301: Tues 2:00PM - 2:50PM