MATH 4140 - Mathematics of Derivative Securities

Effective Start Date: 01/01/2022
This class introduces students to the mathematics used in pricing derivative securities. Topics include a review of the relevant probability theory of conditional expectation and martingales/the elements of financial markets and derivatives/pricing contingent claims in the binomial & the finite market model/(time permitting) the Black-Scholes model. Prerequisites: MATH 3100, MATH 3351 and a proof-based course (MATH 3000, MATH 3310 or MATH 3354).

Requisites: Must have completed (MATH 3100 or APMA 3100) AND (MATH 3315 or 3351 or 4651 or APMA 3080) AND (MATH 3000 or 3310 or 3354 or 4310 or 4652)

Credits: 3