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MATH 557: Financial Derivatives

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Important: For the most up-to-date information, refer to the official George Mason Course Catalog

General Information

Credits: 3

Description:

Fundamentals of pricing derivative securities, including Black-Scholes formalism and no-arbitrage pricing models. Exotic options, Monte-Carlo simulation, and interest rate models. Material corresponds to the Society of Actuaries Exam MFE: Act. Models and Fin. Econ. Offered by Mathematics. May not be repeated for credit.
Recommended Prerequisite: MATH 554 and either MATH 351 or STAT 344, or permission of instructor.
Registration Restrictions:

Enrollment limited to students with a class of Advanced to Candidacy, Graduate, Junior Plus, Non-Degree or Senior Plus.

Enrollment is limited to Graduate, Non-Degree or Undergraduate level students.

Students in a Non-Degree Undergraduate degree may not enroll.

Schedule Type: Lecture
Grading:
This course is graded on the Graduate Regular scale.