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George Mason University

2016-2017 University Catalog

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2016-2017 University Catalog

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MATH 557 - Financial Derivatives

Credits: 3
Not Repeatable for Credit
Offered by Mathematical Sciences

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.

Prerequisite(s): MATH 554 and either MATH 351 or STAT 344, or permission of instructor.
Schedule Type: LEC
Hours of Lecture or Seminar per week: 3
Hours of Lab or Studio per week: 0
When Offered: Spring

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MATH 557 - Financial Derivatives