Mathematics of Financial Markets

Subject: 
Actuarial Science (ACTSC)
Catalog number: 
846
Unit weight: 
0.50
Meet type: 
LEC
Grading basis: 
NUM
Cross-listing(s): 
N/A
Requisites: 
Antireq: ACTSC 446
Description: 
This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad ares: derivatives markets (options; forwards and futures; other derivatives; put-call parity), discrete-time financial models (binomial models; general multi-period models; fundamental theorems of asset pricing; risk-neutral probability), and continuous-time financial models (basic stochastic calculus and Ito's lemma; Black-Scholes model; interest rate models and bond pricing).
Topic titles: 
N/A
Faculty: 
Mathematics (MAT)
Academic level: 
GRD
Course ID: 
011270