2014-2015 University Catalog 
  
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2014-2015 University Catalog

MATH 557 - Financial Derivatives

Credits: 3 (NR)
Fundamentals of pricing derivative securities, including Black-Scholes formalism and no-arbitrage pricing models. Exotic options, Monte-Carlo simulation, and interest rate models. Material corresponds to the Society of Actuaries Exam MFE: Act. Models and Fin. Econ.

Prerequisite(s): MATH 554 and either MATH 351 or STAT 344, or permission of instructor.

Hours of Lecture or Seminar per week: 3
Hours of Lab or Studio per week: 0
When Offered: Spring