MATH 402 - Directed Individual Study

Credits: 2

Prerequisite: Consent of the department. Individual conferences. May be repeated for degree credit if the topics are different.

Winter 2020, Math 402-01: Directed Individual Study: Discrete Models of Financial Markets (2). Prerequisite: MATH 221 and 222. This course explains in simple settings the fundamental ideas of financial market modeling and derivative pricing, using the No Arbitrage Principle. Relatively elementary mathematics leads to powerful notions and techniques–viability, completeness, self-financing and replicating strategies, arbitrage and equivalent martingale measures–which are directly applicable in practice. McRae.