MATH 4601
Financial Instruments &Pricing · 4 credits · Spring 2027
Requirements
MATHEMATICS 2601 AND 3501; OR MATHEMATICS 3601; OR FINANCE 3370; OR ECONOMICS 3370, ANY GRADE C- OR HIGHER, IS REQUIRED. STUDENTS PASSED ECONOMICS 3375 OR MATHEMATICS 4601 EITHER WITH GRADE OF C- OR HIGHER OR FINANCE 3375 [BUSINESS 3375] CANNOT ENROLL.
About this course
4 hours; 4 creditsDefinitions 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.
No sections have been posted for this course in this term yet.