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MATH 4601 Financial Instruments and Their Pricing
(Prior to Fall 2010, this course was known as MATH 74.3.
The information below might still reflect the old course numbers. Bracketed numbers, if any, are the old course numbers. Learn more...)
4 hours; 4 credits
Definitions of some of the most important derivative securities traded in the financial markets: forward and futures contracts, caplets, caps, swaps, and options (Call, Put, Barrier, Bermudan, Asian, Digital, Exotic). The principles of arbitrage pricing and risk-neutral pricing, discrete-time binomial trees. The continuous time Black Scholes model and the Capital Asset Pricing model. The pricing of interest rates in an arbitrage-free framework and important interest rate models. Concentration on stochastic modeling and applications. (This course is the same as Finance 3375 [Business 3375] and Economics 3375.)
Prerequisite: Mathematics 2601 and Mathematics 3501; or Mathematics 3601; or Finance 3370; or Economics 3370.
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