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Financial Mathematics I & II: Course Outline For Financial Mathematics I (MAT 643)

Mathematical finance will derive and extend the mathematical or numerical models without necessarily establishing a link to financial theory, taking observed market prices as input.

Course Contents

  • Discrete-time models,
  • Riskless asset pricing,
  • Asset pricing under risk,
  • Arbitrage,
  • Complete and incomplete markets.
  • Introduction to options and risk-neutral pricing,
  • Option strategies,
  • Introduction to financial derivatives,
  • Portfolio optimization,
  • Capital Asset Pricing Model (CAPM),
  • Efficient frontier.

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