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2021-2022 Catalog
MAP 6605: Topics in Financial Mathematics

Course Description for Topics in Financial Mathematics

MAP6605: Topics in Financial Mathematics
Prerequisite:  MAA 4211 and 4212, STA 4321, or permission of the department. Topics will include an introduction to options and derivatives, pricing via arbitrage, binomial and multi-period models, Brownian motion, Ito integral, Black-Scholes stochastic differential equation, and application to option pricing, hedging, valuing by utility, and exotic options.