Instructor: Ari Stern

Email: stern@wustl.edu

Office: Cupples I, 211B

Office Hours: TuTh 1-2pm

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.

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 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).

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.

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

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.

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.

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.