Math 485 - Introduction to Mathematical Finance
|
 |
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)
Spring 2012 Schedule
This couse is taught during the Fall semester.
Textbook
Steven E. Shreve ; Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, First edition 2005, Springer-Verlag, (ISBN: 978-0387249681)
Sample Syllabus
Previous semesters
- Fall 2008. Prof. Rodriguez
- Ran as Math 495 prior to Fall 2008
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.