2018-2019 Undergraduate Catalog 
    Jun 30, 2022  
2018-2019 Undergraduate Catalog [ARCHIVED CATALOG]

MGT345: Introduction to Mathematical Finance

3 Credit(s)
This course considers the theme of pricing derivative securities by replication. The simplest case of this idea, static hedging, will be used to discuss net present value of a non-random cash flow, internal rate of return, and put-call option parity. Pricing by replication will next be considered in a one-period random model. Risk neutral probability measures, the Fundamental Theorems of Asset Pricing, and an introduction to expected utility maximization and mean-variance analysis will be presented. Finally, replication will be studied in a multi-period binomial model. Within this model, strategies for European and American options will be examined.
Prerequisite(s): MGT325: Enhanced Financial Management  MTH202: Calculus II