Math 456

Topics in Financial Mathematics, Fall 2017

Basic Information

Instructor: Ari Stern
Email: stern@wustl.edu
Office: Cupples I, 211B
Office Hours: TuTh 1-2pm

Schoology

Math 456 will be using a learning management system (LMS) called Schoology. This is part of a Washington University pilot program to evaluate alternatives to Blackboard, the current LMS, which you may have used in other classes. Assignments, course announcements, etc., will be posted on Schoology, and not on Blackboard or on this page.

You can access Schoology at https://wustl.schoology.com.

Homework Assignments

Problem sets will be posted to Schoology approximately biweekly, and will be collected at the beginning of class on the due date. You are encouraged to discuss the homework with your fellow students and to collaborate on problems, but your final write-up must be your own. Please make sure that your solutions are written clearly and legibly.

Lucy Huo (huodongyan@wustl.edu) is responsible for grading the homework assignments.

Lectures

Lectures will be held MWF 1-2pm, in Duncker 101. The first class will be on Monday, August 28, and the last will be on Friday, December 8. Class will be canceled for Labor Day (Monday, September 4), Fall Break (Monday, October 16), and Thanksgiving Break (Wednesday, November 22, and Friday, November 24).

Exams

There will be one in-class midterm exam on Friday, October 20. The final exam will be held on Wednesday, December 20, from 1-3pm.

Grading

Grades will be based on a weighted average of homework (40%, lowest score dropped), midterm exam (20%), and final exam (40%).

Textbook

The text for this course is Binomial Models in Finance, by John van der Hoek and Robert J. Elliott. Click here to download the book from the publisher in PDF format. If you prefer to have a hard copy, a low-cost paperback version is available for purchase at the same link.

Catalog Description

An introduction to the principles and methods of financial mathematics, with a focus on discrete-time stochastic models. Topics include no-arbitrage pricing of financial derivatives, risk-neutral probability measures, the Cox-Ross-Rubenstein and Black-Scholes-Merton options pricing models, and implied volatility. Prerequisites: MATH 233 and 3200 or permission of instructor.

Important Note for Math Majors on the Probability and Statistics Track

This course may not be used as one of the "upper level probability/statistics electives" required for mathematics majors on the probability/statistics track. For the other major tracks, however, it does count as a general "upper level mathematics elective." If you have any questions, please consult the major tracks web page, and speak with your major advisor and/or the Associate Director of Undergraduate Studies, Blake Thornton.