UCSD Catalog Entry for Math 194

Taken from the Mathematics section of the UCSD Catalog.

194. The Mathematics of Finance (4)

Introduction to the mathematics of financial models. Basic probabilistic models and associated mathematical machinery will be discussed, with emphasis on discrete time models. Concepts covered will include conditional expectation, martingales, optimal stopping, arbitrage pricing, hedging, European and American options. Prerequisites: Math. 20D (21D), Math. 20F, and Math. 180A or 183.

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December 28, 2009