Math 38200: Continuous Time Models in Financial Mathematics

Supervisor: Eli Amzallag

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.

Sections

For Spring 2023, the following sections are being offered:

Historical offerings