MATH 38200 Continuous Time Models in Financial Mathematics
Review of discrete time models and binomial trees. Cox, Ross, Rubinstein approach to the Black-Scholes model; Black-Scholes equation and option pricing formulae; Brownian motion and stochastic differential equations; Ito's calculus and Ito's lemma; stopping times; the heat equation; option pricing and the heat equation; numerical solution of parabolic partial differential equations; interest rate models; simulation and financial models.
Prerequisite
A grade of C or higher in
MATH 38100 or placement by the Department.
Contact Hours
3 hr./wk.
Offered
Spring only