MathematicsMATH 114 Introduction to Financial Mathematics

Financial derivatives: contracts and options. Hedging and risk management. Arbitrage, interest rate, and discounted value. Geometric random walk and Brownian motion as models of risky assets. Ito's formula. Initial boundary value problems for the heat and related partial differential equations. Self-financing replicating portfolio; Black-Scholes pricing of European options. Dividends. Implied volatility. American options as free boundary problems.

Requirements

Corequisite(s): STAT 131 or CSE 107.

Credits

5