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Course Details


MATH 475 - DERIVATIVES MARKETS

We will cover binomial option pricing, the Black-Scholes Formula and equation, market-making and delta hedging, exotic options, the lognormal distribution, Monte Carlo valuation, Brownian motion and Itobparity and other option relationships, volatility, interest rate models.

Credits: 3

Prerequisites:

There are no prerequisites listed for this course.

Course Notes:

ACSC/MATH 269, ACSC/MATH 367, FIN 311

or consent of Instructor.