Oct 01, 2020  
2018-2019 Undergraduate Catalog 
2018-2019 Undergraduate Catalog [ARCHIVED CATALOG]

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MATH 418C - Financial Mathematics III

Actuarial financial mathematics, including portfolio theory, investment risk and project analysis, forwards and futures, and derivatives pricing models. Course will be offered every year (Spring).

Prerequisite: MATH 418B and (MATH 314 or MATH 411A) with grades of C or higher.

Credits: (4)

Learner Outcomes:
Upon successful completion of this course, the student will be able to:

  • Measure the required return on an asset using capital asset pricing models and factor models.
  • Assess a company’s level of risk using different measures of risk and different methods of risk analysis.
  • Construct option portfolios to hedge a given position.
  • Value options using the Black-Scholes and binomial pricing models.
  • Estimate option prices using Greeks, and delta-gamma hedge a portfolio.
  • Communicate financial mathematics clearly in writing.
Learner Outcomes Approval Date:

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