MTH 380 - Financial Derivatives

MTH 122 with grade of C (2.0) or better, or concurrent election of MTH 122; or MTH 118 with a grade of B (3.0) or better. MTH 378 recommended. (3)

Analysis of financial derivatives including options, forwards, futures and swaps; no-arbitrage pricing and put-call parity. Introduction to binomial and Black-Scholes option pricing. Emphasis on preparation for actuarial exam FM. Intended for students interested in actuarial science, finance, or applications of mathematics. Graded ABCDE Offered infrequently.