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.

Credits

3

Prerequisite

A grade of C or higher in MATH 38100 or placement by the Department.

Contact Hours

3 hr./wk.

Offered

Spring only