Mathematics 86 - Mathematical Finance I

Institution:

Dartmouth College

Subject:

Description:

08F: 11 09F: Arrange Financial derivatives can be thought of as insurance against uncertain future financial events. This course will take a mathematically rigorous approach to understanding the Black-Scholes-Merton model and its applications to pricing financial derivatives and risk management. Topics may include: arbitrage-free pricing, binomial tree models, Ito calculus, the Black-Scholes analysis, Monte Carlo simulation, pricing of equities options, and hedging. Prerequisites: Mathematics 20/60 and Mathematics 23, as well as some programming experience (e.g., Computer Science 5). Dist: QDS. Chu.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.dartmouth.edu

Phone Number:

(603) 646-1110

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Quarter

The Course Profile information is provided and updated by third parties including the respective institutions. While the institutions are able to update their information at any time, the information is not independently validated, and no party associated with this website can accept responsibility for its accuracy.