Structuring an undergraduate mathematics seminar dealing with options and hedging

Offering mathematics majors the opportunity to engage in current, real-world applications can be an important enhancement to their undergraduate course curriculum. Instead of focusing on the traditional topic areas in pure and/or applied mathematics, one may structure a seminar course for senior mathematics majors by concentrating on a specific applications area. While there is value in seminars covering traditional topics such as applications of differential equations or current topics in topology, to mention just two areas, one might consider structuring a seminar where the focus is on the application, and mathematics is used as a tool. This paper describes an outline for presenting a one hour credit course in the subject area of modeling options and hedging in the securities industry, along with comments on the importance of various activities and discussions. Topics involving bond trading strategies and currency markets are not included.