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.
Instructor
Staff