FNCE 116 - Mathematical Finance

Institution:

Santa Clara University

Subject:

Finance

Description:

Introduction to Ito calculus and stochastic differential equations. Discrete lattice models. Models for the movement of stock and bond prices using Brownian motion and Poisson processes. Pricing models for equity and bond options via Black-Scholes and its variants. Optimal portfolio allocation. Solution techniques will include Monte Carlo and finite difference methods. Offered in alternate years. Prerequisites: OMIS 40, FNCE 115 or permission of instructor. OMIS 40, FNCE 115 or permission of instructor.

Credits:

5.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.scu.edu

Phone Number:

(408) 554-4000

Regional Accreditation:

Western Association of Schools and Colleges

Calendar System:

Quarter

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