Course Description Course Description
| Applied Mathematics 320b Mathematics of Financial Options |
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An introduction to modern financial mathematics using a differential equations approach. Stocks, bonds, forwards, futures, and options. Geometric Brownian Motion. No-arbitrage options pricing. The Black-Scholes equation and its solutions. American options and moving boundary problems. |
| Antirequisite: Statistical Sciences 420a/b |
| Prerequisites: Applied Mathematics 320b, Calculus 251a/b or 375a/b |
| 3 lecture hours, half course. |
| Academic Calendar |
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