Math 435: Mathematical Finance
(Credit Hours:Lecture Hours:Lab Hours)
The binomial asset pricing model (discrete probability). Martingales, pricing of derivative securities, random walk in financial models, random interest rates.
Desired Learning Outcomes
The minimal expectation for this course is that students learn about mathematical finance in the context of discrete time and finite state-spaces. It is therefore not required that students be taught about Brownian motion, the Black-Scholes model, etc.
Students should have had an introductory course in probability.
Minimal learning outcomes
Courses for which this course is prerequisite