MATH109 CM - Introduction to Mathematics of Finance

This is a first course in Mathematical Finance sequence. This course introduces the concepts of arbitrage and risk-neutral pricing within the context of single- and multi-period financial models. Key elements of stochastic calculus such as Markov processes, martingales, filtration and stopping times will be developed within this context. Pricing by replication is studied in a multi-period binomial model. Within this model, the replicating strategies for European and American options are determined.

Prerequisite: MATH 060 CM or instructor permission

Offered: Occasionally

Credit: 1

Course Number: MATH109 CM