Math 456

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Topics. This course is an introduction to the principles and methods of financial mathematics, with a focus on discretetime stochastic models. Topics include noarbitrage pricing of financial derivatives, riskneutral probability measures, the CoxRossRubinstein and BlackScholesMerton options pricing models, and implied volatility.
Prerequisites. Math 233, Math 310, and Math 3200, or permission of the instructor.
Time. Classes meet Mondays, Wednesdays and Fridays, 1:00 pm to 1:50 pm, in Cupples II Hall, room 230.
Text. The lectures will follow my book
Introducing Financial Mathematics: Theory, Binomial Models, and Applications (2022), ISBN 9781032359854.
Homework assignments:
Final Project. Instead of a midterm or final examination, students will be required to apply concepts and algorithms from this course to complete a final project using software from the course and data found online. Requirements will be posted by Wednesday, November 30, 2022, and the project must be submitted electronically by Friday, December 16th, 2022, at 11:01pm.
Grading. One grade will be assigned for homework (with the lowest HW score dropped) and one for the final project. These three will contribute as follows to the course grade: HW 70%, FP 30%. Letter grades, computed from the course score, will be at least the following:
Course score at least:  90%  80%  70%  50% 

Letter grade at least:  A  B  C  D 
Office Hours. MWF 23pm, namely after each class, in my office in Cupples I, room 105a, or by appointment.