Mathematics Department - Math 485 - Introduction to Mathematical Finance

Math 485 - Introduction to Mathematical Finance



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.
Prerequisites:
  • Linear algebra(01:640:250)
  • Differential Equations (01:640:244,252, or 292)
  • Probability (01:640:477, 01:960:381, or 14:332:226)

Schedule Archives

Fall 2018 Schedule


This couse is taught during the Fall semester.


Textbook

Stampfli & Goodman; The Mathematics of Finance: Modeling and Hedging;
Cengage, 2000; ISBN: 0-534-37776-9; ISBN-13: 9780534377762


Sample Syllabus

Fall 2008


Previous semesters



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