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MATH109 CM - Introduction to the Mathematics of Finance

Credit(s): 3

Instructor(s): Staff (CMC)

Offered: Alternate years

Description: This is a first course in Mathematical Finance sequence. This course introduces the concepts of arbitrage and risk-neutral pricing within the context of single- and multi-period financial models. Key elements of stochastic calculus such as Markov processes, martingales, filtration, and stopping times will be developed within this context. Pricing by replication is studied in a multi-period binomial model. Within this model, the replicating strategies for European and American options are determined.

Prerequisite(s): MATH073 HM  and MATH082 HM