CGU

Student Services

Class Schedule Detail

« Back to search results

2013 Fall - MATH
Subj Cat# Class# Sect Course
MATH 358 1170 1 Mathematical Finance
Description
This class will cover the theory of option pricing, emphasizing the Black-Scholes model and interest rate models. Implementation of the theory and model calibration are covered in the companion class, Numerical Methods for Finance, Math 361. We will see the binomial no-arbitrage pricing model, state prices, Brownian motion, stochastic integration, and Ito’s lemma, the Black-Scholes equation, risk-neutral pricing and Girsanov theorem, change of numeraire and two term structure models: Vasicek and LIBOR. Prerequisites: Mature understanding of advanced calculus and probability (at the level of Math 251) and permission of instructor. Math 256 would be helpful.