Mathematics of Finance for Mathematics/Economics Students

Lecture, three hours; discussion, one hour. Enforced requisites: courses 33A, and 170A or 170E or Statistics 100A. Not open for credit to students with credit for course 174A, Economics 141, or Statistics C183/C283. Mathematical modeling of financial securities in discrete and continuous time. Forwards, futures, hedging, swaps, uses and pricing (tree models and Black-Scholes) of European and American options, Greeks and numerical methods. P/NP or letter grading.

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Course

Instructor
Moritz Voss
Previously taught
23W 22F 22Su 22S 22W 21F 21S 21W

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