MATH 474 - Mathematics of Financial Derivatives

(3 units)

Prerequisites: MATH 364A or MATH 370A, MATH 380, or consent of instructor.
Options, futures, and other financial derivatives; arbitrage; riskneutral valuation; binomial trees; the log-normal hypothesis; the Black-Scholes-Merton formula and applications; the Black- Scholes-Merton partial differential equation; American options; exotic options; bond models and interest rate derivatives; credit risk and credit derivatives.

Both grading options.