Course Description

Applied Mathematics 320b Mathematics of Financial Options

An introduction to modern financial mathematics using a differential equations approach. Stocks, bonds, forwards, futures, and options. Geometric Brownian Motion. No-arbitrage options pricing. The Black-Scholes equation and its solutions. American options and moving boundary problems.

Antirequisite: Statistical Sciences 420a/b
Prerequisites: Applied Mathematics 320b, Calculus 251a/b or 375a/b
3 lecture hours, half course.


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