21-270 Introduction to Mathematical Finance Units: 9.0 Department: Mathematical Sciences Related URLs: http://www.math.cmu.edu This is a first course for those considering majoring or minoring in Computational Finance. The theme of this course is pricing derivative securities by replication. The simplest case of this idea, static hedging, is used to discuss net present value of a non-random cash flow, internal rate of return, and put-call option parity. Pricing by replication is then considered in a one-period random model. Risk-neutral probability measures, the Fundamental Theorems of Asset Pricing, and an introduction to expected utility maximization and mean-variance analysis are presented in this model. Finally, replication is studied in a multi-period binomial model. Within this model, the replicating strategies for European and American options are determined. 3 hours lecture.

Discuss this course  Textbook prices  View FCE Results  View FCE Results Prior to Fall 2004  Check Availability   Popularity index Rank for this semester: #87 Rank in this department: #17   Students also scheduled 18-100 Introduction to Electrical and Comp... 21-111 Calculus I 03-240 Cell Biology 15-211 Fundamental Data Structures and Alg... 21-112 Calculus II 21-341 Linear Algebra 21-127 Concepts of Mathematics 21-259 Calculus in Three Dimensions 09-222 Laboratory II: Organic Synthesis an... 15-462 Computer Graphics