Math 456

NEWS

QUICK LINKS

EXAMPLE PROGRAMSExtensions: ".m" is for Octave, ".mac" is for Macsyma, ".odg" is for LibreOffice Draw, ".ods" is for LibreOffice Calc, ".xls" is for Excel.

VIDEOS 
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 Louderman Hall, room 458.
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 Report using software from the course
and data found online. Requirements will be posted by Wednesday,
November 29th, 2023, and the project must be submitted electronically by
Friday, December 15th, 2023, at 11:01pm.
Prepare a onepage Outline by
December 9th, if you wish me to comment on your choices. This should
also be submitted electronically.
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.