Apr 25, 2024  
OHIO University Graduate Catalog 2022-23 
    
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OHIO University Graduate Catalog 2022-23 [Archived Catalog]

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MATH 5580X - Elements of Financial Mathematics

This course is designed for advanced undergraduate students and master’s degree students interested in applications of mathematics in finance. The course introduces basic ideas and methods of stochastic calculus and applications of these methods to financial models, particularly to the pricing and hedging of derivative securities in continuous time models. The course will cover the following topics: introduction to financial derivatives, concepts of arbitrage and risk-neutral pricing, probability distribution, expectation, conditional expectation, Brownian motion Ito’s integral, Ito’s formula and its applications to financial modeling, and also the Black-Scholes option pricing model

Requisites:
Credit Hours: 3
Repeat/Retake Information: May not be retaken.
Lecture/Lab Hours: lecture
Grades: Eligible Grades: A-F,WP,WF,WN,FN,AU,I


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