MTH 32600 Models for Financial Economics

This primary focus of this course is to use stock models for the purpose of option valuation. Stock models discussed include the binomial tree model and the Black-Scholes framework. Students will use the models to price standard options as well as a variety of exotic options. The course will also discuss interest rate models used for pricing bonds. This course covers material included on the MFE/3F actuarial exam. Lab fee may be required.

Credits

3

Prerequisite

MTH 14100 or MTH 24100 with a C or better; MTH 32500 with a C or better or MTH 17500 and FIN 42020 with a C or better.