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MATH 4140

Mathematics of Derivative Securities

Course Description

Prerequisites

MATH 3100, MATH 3351 and a proof-based course (MATH 3000, MATH 3310 or MATH 3354)

Disciplines

Chemical, Mathematical, and Physical Universe

This class introduces students to the mathematics used in pricing derivative securities. Topics include a review of the relevant probability theory of conditional expectation and martingales/the elements of financial markets and derivatives/pricing contingent claims in the binomial & the finite market model/(time permitting) the Black-Scholes model.