Class meets:
TTH7 (5:40-8:00PM), Hill 124
Text:
V. Goodman and J. Stampfli,
The Mathematics of Finance: Modeling and Hedging,
Brooks/Cole Series in Advanced Mathematics, first edition, 2000.
ISBN 0534377769.
Prerequisites: Probability (640:477 or
960:381), Multivariable Calculus (64):251), and Linear Algebra (640:250).
Instructor:
Daniel Ocone, ocone@math.rutgers.edu
Office Hours: Hill 518:
Tuesday and Thursday, 3:15-4:45 ; Wednesday, 10:30-11:30;
or by appointment.
Syllabus by topic: This page
is a week by week outline of topics and sections of the text
we want to cover.
Lecture schedule, problem sets
and reading assignments, etc.
Click here. This is the work horse
page of the course! Go here for posted class notes, homework, lecture
schedule.
Resources: This page has
information on other good texts and links to web resources that
the course will draw upon.
Tests, homework, grades:
There will be weekly, graded problem sets, two midterms, and a final.
Mathematical techniques used to model and analyze financial derivatives such as options. Topics covered are hedging, arbitrage and the fundamental theorem of asset pricing; pricing options with binomial tree models; risk neutral probabilities and martingales applied to pricing; Brownian motion, geometric Brownian motion and the Black-Scholes formula; partial differential equations for pricing. As time permits, interest rate derivatives and term structure models.