The City College of New YorkCCNY
Department of Mathematics
Division of Science

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.



This class is not being offered in Summer 2024.

Historical offerings

The City College of New YorkCUNY
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