General Information (Catalog listing)
Study of the mathematical theory and financial concepts used to model and analyze financial derivatives. Topics include martingales, Brownian motion, and stochastic differentials, with applications to discrete and continuous time stochastic models of asset prices, option pricing, the Black-Scholes pricing model, and hedging.
- Linear algebra(01:640:250)
- Differential Equations (01:640:244, 252, or 292)
- Probability (01:640:477, 01:960:381, or 14:332:226)
Stampfli & Goodman; The Mathematics of Finance: Modeling and Hedging;
Cengage, 2000; ISBN: 0-534-37776-9; ISBN-13: 9780534377762This course is taught during the Fall semester.
Sections Taught This Semester:
- Fall 2008. Prof. Rodriguez
- Ran as Math 495 prior to Fall 2008