MA 335 - Financial Calculus and Derivative Pricing

Institution:

Bentley University

Subject:

Description:

Prerequisite(s): MA139 or MA129 with IP or MA125 with IP; and ST241 or MA251 or GB205 The main part of this course is the Black-Scholes financial market model and its application to option pricing and hedging of contingent risk with dynamic replicating portfolios. Selected topics of the theory of ordinary differential equations, probability theory and statistics (taught as a separate module) are used as a necessary background for understanding important economic concepts. Students will become familiar with basic ideas lying behind the famous Black-Scholes formula, as well as learn how to use the Black-Scholes market model, what limitations and imperfections it has, how to set up and maintain the delta-neutral hedging portfolio, what alternatives to the model exist today and how practitioners use them. Students will see how fundamental mathematics is applied to a significant area of finance.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.bentley.edu

Phone Number:

(800) 523-2354

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Semester

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