Mathematical Finance (MA 492/592) offered in Fall 2013

The course is aimed at introducing the basic mathematical concepts
and tools needed to understand options and other financial derivatives.

This course will be offered every Fall. The prerequisites are: Calculus I and II.

Course Content:

  • The notion of no arbitrage
  • Interest, compounding, bonds
  • Review of mean, variance, and covariance
  • Portfolio management: risk and return
  • Forwards and Futures
  • Put-call parity
  • Martingales and conditional expectation
  • The binomial model
  • Fundamental theorems of asset pricing
  • Brownian motion (heuristics)
  • Ito's formula and Girsanov's theorem (heuristics)
  • The Black-Scholes-Merton formula
  • Interest rates
  • The binomial model for stochastic interest rates