Apr 30, 2024  
2021-2022 Undergraduate and Graduate Catalog 
    
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2021-2022 Undergraduate and Graduate Catalog [ARCHIVED CATALOG]

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.