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Mathematical Finance (MATH 238)

  • winter
  • 2019-2020

3 units

Letter or Credit/No Credit

Stochastic models of financial markets. Forward and futures contracts. European options and equivalent martingale measures. Hedging strategies and management of risk. Term structure models and interest rate derivatives. Optimal stopping and American options. Corequisites: MATH 236 and 227 or equivalent.nnNOTE: Undergraduates require instructor permission to enroll. Undergraduates interested in taking the course should contact the instructor for permission, providing information about relevant background such as performance in prior coursework, reading, etc.




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