MA 570 - Mathematical Finance

Offered Fall: No Offered Winter: No Offered Summer: No Offered Other: No

Credits: 4
Hours (Lecture/Discussion/Lab): 4-0-0
Graded: A/F

Prerequisites: Graduate student or accelerated bachelors student in mathematics or instructor permission.
Co-requisites: None

This is a graduate level course in mathematical finance. The instructor will cover the following topics: forwards, swaps and options, replication, risk-neutrality, Martingales, options and derivatives pricing, continuous-time stochastic processes, Brownian motion. This course contributes to a student’s readiness for professional actuarial exams such as CAS I/SOA P (Casualty Actuarial Science Examination #1/Society of Actuaries Probability Exam) and CAS II/SOA FM (Casualty Actuarial Science Examination #2/Society of Actuaries Financial Mathematics Exam).