Courses: Math of Financial Derivatives (MATHB310001)
Spring 2013
Class Number: 1248
An introduction to the mathematics utilized in the pricing models of derivative instruments. Topics to be covered may include Arbitrage Theorem, pricing derivatives, Wiener and Poisson processes, martingales and martingale representations, Ito's Lemma, Black-Scholes partial differentiation equation, Girsanov Theorem and Feynman-Kac Formula. Prerequisite: MATH 201 or permission of instructor.
Div: II; Haverford: Natural Science (NA)
Enrollment Limit: 25; Enrollment Criteria: Major/Minor/Concentration;
Fulfills: Class Nbr: 1248 Div: II; NA
DepartmentTaught ByCheng,Leslie C. |
Meeting TimesTTH 12:45pm-2:15pm |