General Information (Catalog listing)
Study of the mathematical theory and financial concepts used to model and analyze financial derivatives. Topics include martingales, Brownian motion, and stochastic differentials, with applications to discrete and continuous time stochastic models of asset prices, option pricing, the Black-Scholes pricing model, and hedging.Prerequisites:
- Linear algebra(01:640:250)
- Differential Equations (01:640:244,252, or 292)
- Probability (01:640:477, 01:960:381, or 14:332:226)
Fall 2020 Schedule
This couse is taught during the Fall semester.
Stampfli & Goodman;
The Mathematics of Finance: Modeling and Hedging;
Cengage, 2000; ISBN: 0-534-37776-9; ISBN-13: 9780534377762
Disclaimer: Posted for informational purposes only
This material is posted by the faculty of the Mathematics Department at Rutgers New Brunswick for informational purposes. While we try to maintain it, information may not be current or may not apply to individual sections. The authority for content, textbook, syllabus, and grading policy lies with the current instructor.
Information posted prior to the beginning of the semester is frequently tentative, or based on previous semesters. Textbooks should not be purchased until confirmed with the instructor. For generally reliable textbook information—with the exception of sections with an alphabetic code like H1 or T1, and topics courses (197,395,495)—see the textbook list.