MAT 479 - Financial Calculus

Institution:

West Chester University of Pennsylvania

Subject:

Mathematics

Description:

This course aims to provide the undergraduate mathematics major with an introduction to the mathematics behind derivative pricing and portfolio management. Pricing theory is first developed through the typical binomial model and then is extended to continuous time via the Black-Scholes model. In addition, the student will be exposed to how arbitrage can be used to aid in the pricing more complicated derivatives, such as call options on dividend-paying securities and exotic options.

Credits:

3.00

Credit Hours:

Prerequisites:

MAT 371, MAT 421

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.wcupa.edu

Phone Number:

(610) 436-1000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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