This course is a continuation of Math 485/548. It introduces the student to modern continuous time mathematical finance. The major objective of the course is to present main mathematical methodologies and models underlying the area of financial engineering, and, in particular, those that provide a formal analytical basis for valuation and hedging of financial securities.
[(MATH 481 with min. grade of C) OR (MATH 542 with min. grade of C)] AND [(MATH 485 with min. grade of C) OR (MATH 548 with min. grade of C)]