MTH 4500 - Introductory Financial Mathematics

Institution:

CUNY Bernard M Baruch College

Subject:

Description:

4 hours; 4 credits This course is an introduction to the mathematical methods used in finance and their practical applications. The course begins with a review of discrete and continuous probability, including brownian motion. The finite difference methods, Monte Carlo simulation, Newton's method, and the least squares problem will be studied. These methods will be applied to solve the Black-Scholes equation, price American options, price exotic options, and find the zero curve. Other topics include forwards and futures, arbitrage pricing theory, bonds and swaps, bootstrapping, European and American options, put-call parity, binomial trees for options pricing, and exotic options. Prerequisites: MTH 3020 or 3030 and either MTH 3120 or 4120.

Credits:

4.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.baruch.cuny.edu

Phone Number:

(646) 312-1000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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