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2015-2016 Catalog

MATH 347 Financial Mathematics

A wide range of topics in mathematical finance are covered, including: continuous time models such as the Brownian motion model for stock prices, the Black-Scholes model for options prices, the Ho-Lee, Vasicek and other models for interest rates, also different hedging strategies and numerical approaches for derivative pricing such as binomial trees, Monte-Carlo simulation and finite difference methods, and price models for credit derivatives such as asset swaps, credit default swaps and collateralized debt obligations.


ECON 101, MATH 335, and MATH 272 or MATH 300