MATH5075
MATH 5075 - Mathematics of Options, Futures, and Derivative Securities I (4 Cr.)
School of Mathematics (11133)
TIOT - College of Science and Engineering
MATH 5075 - Mathematics of Options, Futures, and Derivative Securities I (4 Cr.)
Course description
Mathematical background (e.g., partial differential equations, Fourier series, computational methods, Black-Scholes theory, numerical methods--including Monte Carlo simulation). Interest-rate derivative securities, exotic options, risk theory. First course of two-course sequence.
prereq: Two yrs calculus, basic computer skills
prereq: Two yrs calculus, basic computer skills
Minimum credits
4
Maximum credits
4
Is this course repeatable?
No
Grading basis
OPT - Student Option
Lecture
Requirements
001186
Fulfills the writing intensive requirement?
No
Typically offered term(s)
Every Fall