UCSD Catalog Entry for Math 294

Taken from the Mathematics section of the UCSD Catalog.

Math 294. The Mathematics of Finance (4)

Introduction to the mathematics of financial models. Hedging, pricing by arbitrage. Discrete and continuous stochastic models. Martingales. Brownian motion, stochastic calculus. Black-Scholes model, adaptations to dividend paying equities, currencies and coupon-paying bonds, interest rate market, foreign exchange models. Prerequisite: Math. 180A (or equivalent probability course) or consent of instructor.

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December 15, 2008