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Academic Bulletin Mathematics & Computer Science - 2010-11 - 251 MAT 251

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MAT 251 Mathematical Finance

The course gives an overview of the mathematical reasoning behind the pricing of options. Topics include binomial models, put-call parity, a probabilistic derivation of the Black-Scholes pricing formula for call options, and delta hedging. We will also look at Asian, gap, and barrier options. This course is offered in the fall semester.

Prerequisite: Mathematics 112 (Calculus II)

Credits: 1/2