MATH 327 - Advanced Financial Mathematics

Institution:

Knox College

Subject:

Description:

Continued study of the key mathematical ideas and techniques that support the two main arms of the area of Financial Mathematics: portfolio optimization and option valuation. Cox-Ross- Rubinstein model of asset prices in discrete time, Brownian motion and stochastic integral models for continuous time problems, optimal portfolio consumption problem, exotic options, dynamic programming approach to valuation of derivative assets, Black-Scholes option valuation. Statistical estimation of the parameters of the asset price process will also be discussed. Prereq: MATH 227 and MATH 321, or permission of the instructor; QL; K. Hastings

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.knox.edu

Phone Number:

(309) 341-7000

Regional Accreditation:

North Central Association of Colleges and Schools

Calendar System:

Trimester

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