MATH 345: Introduction to Financial Mathematics Derivatives
|Prerequisites:||MATH 264 and MATH 304|
|Description: The course provides an introduction to the mathematical theory of option pricing. Topics include a rigorous derivation of option relationships using no arbitrage conditions, rudimentary stochastic calculus and Brownian motion as models for stock prices, and methods for solving partial differential equations to give explicit Black-Scholes formulas.
Students will gain knowledge of the theory of options, bond and stock pricing, portfolio optimization, and will be exposed to other relevant applications of Mathematics to Finance.