MATH 424 - Introduction to the Mathematics of Finance

Institution:

University of Maryland-Global Campus

Subject:

Description:

Prerequisites: MATH141; and either STAT400 or BMGT231 and permission of department. Recommended: MATH240, MATH241, or MATH246. Credit will be granted for only one of the following: BMGT444, MATH424 or MATH498F. Formerly MATH498F. Introduction to the mathematical models used in finance and economics with emphasis on pricing derivative instruments. Designed for students in mathematics, computer science, engineering, finance and physics. Financial markets and instruments; elements from basic probability theory; interest rates and present value analysis; normal distribution of stock returns; option pricing; arbitrage pricing theory; the multiperiod binomial model; the Black-Scholes option pricing formula; proof of the Black-Scholes option pricing formula and applications; trading and hedging of options; Delta hedging; utility functions and portfolio theory; elementary stochastic calculus; Ito's Lemma; the Black-Scholes equation and its conversion to the heat equation.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.umgc.edu

Phone Number:

(301) 985-7000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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