2018-2020 Undergraduate and Graduate Bulletin (with addenda) 
    
    Mar 28, 2024  
2018-2020 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

MA-UY 4324 Mathematics of Finance

4 Credits


Introduction to the mathematics of finance. Topics include: Linear programming with application pricing and quadratic. Interest rates and present value. Basic probability: random walks, central limit theorem, Brownian motion, lognormal model of stock prices. Black-Scholes theory of options. Dynamic programming with application to portfolio optimization.

Prerequisite(s): A grade of C+ or better in (MA-UY 2114  or MA-UY 2514 ) and a grade of C+ or better in (MA-UY 2054  or MA-UY 2224  or MA-UY 2233  or MA-UY 2414  or MA-UY 3014  or MA-UY 3022  or MA-UY 4114  or MA-UY 3514 ).

 

 

 
Also listed under: MATH-UA 250
Weekly Lecture Hours: 4