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MATH 628 - Mathematics of Finance - Summer 2018

Credits 3. 3 Lecture Hours.

Pricing of financial derivatives in different market models; discrete models: Arrow-Debreu, Binomial model, Hedging; Stochastic calculus; Brownian Motion, stochastic integrals, Ito formula; continuous model: Black-Scholes formula for pricing European and American options; equivalent Martingale Measures, pricing of exotic options.
Prerequisite: MATH 606 or MATH 619 or approval of instructor.


This course is not taught in Summer 2018.