STAT 485 - Actuarial Science: Financial Mathematics

(3 units)

Prerequisite: MATH 247 and MATH 380.
Simple and compound interests, stochastic approaches to interest and annuities, stochastic models of stock, Black- Scholes arbitrage pricing of options and other derivative securities, Markowitz portfolio optimization theory, Ito financial calculus, filtrations, and martingales.

Letter grade only (A-F). (Lecture 3 hours)