Oct 01, 2020
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.
Upon successful completion of this course, the student will be able to:
Learner Outcomes Approval Date:
- 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.
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