640:495 Financial Mathematics
Home Page, Fall 2006
TTH7 (5:40-8:00PM), Hill 124
V. Goodman and J. Stampfli,
The Mathematics of Finance: Modeling and Hedging,
Brooks/Cole Series in Advanced Mathematics, first edition, 2000.
Prerequisites: Probability (640:477 or
960:381), Multivariable Calculus (64):251), and Linear Algebra (640:250).
Daniel Ocone, firstname.lastname@example.org
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
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).
Mathematical techniques used to model and analyze financial
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.