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