*640:495 Financial Mathematics*

Home Page, Fall 2006

**Class meets:
** TTH7 (5:40-8:00PM), Hill 124

**Text:**
V. Goodman and J. Stampfli,
** The Mathematics of Finance: Modeling and Hedging**,
Brooks/Cole Series in Advanced Mathematics, first edition, 2000.
ISBN 0534377769.

**Prerequisites:** Probability (640:477 or
960:381), Multivariable Calculus (64):251), and Linear Algebra (640:250).

**Instructor:
** Daniel Ocone, ocone@math.rutgers.edu

**Office Hours:** Hill 518:
Tuesday and Thursday, 3:15-4:45 ; Wednesday, 10:30-11:30;
or by appointment.

**
Syllabus by topic:** This page
is a week by week outline of topics and sections of the text
we want to cover.

**Lecture schedule, problem sets
and reading assignments, etc.**
Click here. This is the work horse
page of the course! Go here for posted class notes, homework, lecture
schedule.

**Resources:** This page has
information on other good texts and links to web resources that
the course will draw upon.

**Tests, homework, grades:**
There will be weekly, graded problem sets, two midterms, and a final.

The final grade will be computed from an average of
the final grade (200 points), the midterm grades (100 points each),

and the homework grades (100 points).

* Course description*

Mathematical techniques used to model and analyze financial
derivatives
such as options. Topics covered are hedging, arbitrage and the
fundamental theorem of asset pricing;
pricing options with binomial tree models; risk neutral probabilities
and martingales applied to pricing; Brownian motion, geometric
Brownian motion and the Black-Scholes formula; partial differential
equations for pricing. As time permits, interest rate derivatives
and term structure models.