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| MA 51500 - Mathematics Of Finance |
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Credit Hours: 3.00. An introduction to the mathematical tools and techniques of modern finance theory, in the context of Black-Scholes option pricing. Brownian motion and its stochastic calculus, Ito's formula, and Feynman-Kac formula. Pricing and hedging of claims on Black-Scholes assets. Incomplete markets. Path-dependent options. Stochastic portfolio optimization. Typically offered Spring.
3.000 Credit hours Levels: Undergraduate, Graduate, Professional Schedule Types: Lecture Offered By: College of Science Department: Mathematics Course Attributes: Upper Division May be offered at any of the following campuses: West Lafayette Restrictions: May not be enrolled as the following Classifications: Sophomore: 45 - 59 hours Sophomore: 30 - 44 hours Freshman: 0 - 14 hours Freshman: 15 - 29 hours Prerequisites: GR-MA 51500 Requisites General Requirements: ( Student Attribute: GR May not be taken concurrently. ) or ( Course or Test: MA 51900 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: STAT 51900 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 26100 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 26200 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 26600 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 30300 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 36600 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 30400 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 27100 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 26300 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 17200 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 17400 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 18200 Minimum Grade of C- May not be taken concurrently. ) or ( Course or Test: MA 17200 Minimum Grade of C- May not be taken concurrently. ) |
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