MATH 38100 Discrete Models of Financial Mathematics

Definitions of options and exotic options on stocks, interests rates and indices; binomial trees; volatility and methods to estimate volatility; continuous models and Black-Scholes; hedging; bond models and interest rate options; spreadsheet methods and computational methods including difference methods and Monte Carlo simulations.

Credits

3

Prerequisite

A grade of C or higher in MATH 20200 or MATH 21200 or placement by the Department.

Contact Hours

3 hr./wk.

Offered

Fall only