MATH-605 Introduction to Financial Mathematics
Spring for 2017-2018
This is a course on the mathematics of financial derivatives. It covers the modeling of underlying assets as Browning motions and the pricing of derivatives by the Black-Scholes analysis. Topics covered include present value, risk free rates, drift terms, asset price volatility, stochastic differential equations and applications both within finance and elsewhere, Merton Firm Value, partial differential equations (PDE) and risk analysis including value at risk. Both the PDE and binomial Black-Scholes pricing models are covered.

Textbook: The Mathematics of Financial Derivatives, by Paul Wilmott, Sam Howison and Jeff Dewynne (1995).

Spring semester.

Must be enrolled in one of the following Levels:
MN or MC Graduate
Must be enrolled in one of the following Majors:
Mathematics and Statistics

Credits: 3
Prerequisites: Math 501, Math 201 or equivalent
More information
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