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Department of Mathematics
The City College of New York
NAC 8/133
Convent Ave at 138th Street
New York, NY 10031

Phone: (212) 650-5346
Fax: (212) 650-6294
math@ccny.cuny.edu

CCNY :: Division of Science :: Mathematics

Department of Mathematics

Math 38200: Continuous Time Models in Financial Mathematics

Supervisor: Jay Jorgenson

Review of discrete time models and binomial trees. Cox, Ross, Rubinstein approach to the Black-Scholes model; Black-Scholes equation and option pricing formulae; Brownian motion and stochastic differential equations; Ito's calculus and Ito's lemma; stopping times; the heat equation; option pricing and the heat equation; numerical solution of parabolic partial differential equations; interest rate models; simulation and financial models. Prereq.: Math 38100 or departmental permission. 3 HR./WK.; 3 CR.

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