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
 Putcall 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 BlackScholesMerton formula
 Interest rates
 The binomial model for stochastic interest rates
