MATH_O 409 - Mathematics of Financial Derivatives

Pricing theory of financial derivative securities. Options and markets, present and future values, price movement modeled by Brownian motion, Ito's formula, parabolic partial differential equations, Black-Scholes model. Prices of European options as solutions of initial/boundary value problems for heat equations, American options, free boundary problems. [3-0-0] Prerequisite: All of MATH 221, MATH 319 and one of MATH 302, STAT 303.

Credits: 3.00

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