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MA 340 Financial Mathematics for Actuaries II: 3 semester hours

This course covers the rational valuation of stock and currency options and the application of option “Greeks" to solve a range of problems. It also serves as an introduction to lognormal pricing, Monte-Carlo simulations, and Brownian motion. Finally, it explores the interest rate models of Vasicek, Cox-Ross-Ingersoll, and Black-Derman-Toy to model and price derivatives on bounds. Prerequisite: MA 164, MA165, MA 202, MA 214, MA 250, MA 330.