Difference between revisions of "Math 435: Mathematical Finance"
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=== Minimal learning outcomes === | === Minimal learning outcomes === | ||
| − | + | Students should be able to compute prices for derivative securities. They should be conversant with the standard terminology of mathematical finance and be able to use this terminology correctly in answering questions. At a minimum, students should understand the following concepts in the context of binomial decision trees: | |
<div style="-moz-column-count:2; column-count:2;"> | <div style="-moz-column-count:2; column-count:2;"> | ||
| − | + | # Martingales | |
| + | # Markov processes | ||
| + | # Arbitrage | ||
| + | # Risk neutrality | ||
| + | # State prices<br><br> | ||
| + | # Options | ||
| + | #* Call and put | ||
| + | #* American and European | ||
| + | # Stopping times | ||
| + | # Simple random walks | ||
| + | # Interest rate models | ||
</div> | </div> | ||
Revision as of 16:44, 15 July 2010
Contents
Catalog Information
Title
Mathematical Finance.
(Credit Hours:Lecture Hours:Lab Hours)
(3:3:0)
Offered
W
Prerequisite
Description
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.
Prerequisites
Students should have had an introductory course in probability.
Minimal learning outcomes
Students should be able to compute prices for derivative securities. They should be conversant with the standard terminology of mathematical finance and be able to use this terminology correctly in answering questions. At a minimum, students should understand the following concepts in the context of binomial decision trees:
- Martingales
- Markov processes
- Arbitrage
- Risk neutrality
- State prices
- Options
- Call and put
- American and European
- Stopping times
- Simple random walks
- Interest rate models
Additional topics
Courses for which this course is prerequisite
None.
