Department of Mathematics

MA 51500, Spring 2013

Mathematics Of Finance

Course Description

  • Credit Hours: 3.00. An introduction to the mathematical tools and techniques of modern finance theory, in the context of Black-Scholes option pricing. Brownian motion and its stochastic calculus, Ito's formula, and Feynman-Kac formula. Pricing and hedging of claims on Black-Scholes assets. Incomplete markets. Path-dependent options. Stochastic portfolio optimization. Typically offered Spring.

Instructor Info.

  • MA 51500 001 - REC 225 MWF 03:30pm - Tudor, Ciprian ( No Office)

Important Notes:

  • ADA policies: please see our ADA Information page for more details.
  • In the event of a missed exam, see your instructor/professor as soon as possible.
  • See the online course evaluation page for more information on how we collect course feedback from students.