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Oct 06, 2024
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2023-2024 Catalog [ARCHIVED CATALOG]
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MATH109 CM - Introduction to Mathematics of FinanceThis 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
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