21-370 Discrete Time Finance

Units: 9.0 Department: Mathematical Sciences Prerequisites: (21-257 or 21-292) and (21-270 or 70-391) and (36-225 or 21-325 or 36-217 or 70-207) Related URLs: http://www.math.cmu.edu This course treats the multi-period binomial model for derivative security pricing. Options, futures, exotic options, bonds, and interest rate swaps are treated, and prices of some of these are computed by backward recursion and by Monte Carlo simulation. The Black-Scholes equation will be obtained as a limiting case of the binomial model. 3 hrs. lec.

Popularity index Rank for this semester: #0 Rank in this department: #0   Students also scheduled 70-391 Finance I 15-451 Algorithm Design and Analysis 18-730 Introduction to Computer Security 21-355 Principles of Real Analysis I 21-320 Symbolic Programming Methods 21-393 Operations Research II 18-349 Introduction to Embedded Systems 21-201 Undergrad Colloquium 73-200 Macroeconomics 70-497 Options

Spring 2005 times

No sections available for semester Spring 2005.