Mathematics 339 - Topic: Mathematical Finance
Fall
2012
01
4.00
Alan Durfee
MWF 10:00AM-10:50AM;TH 03:15PM-04:05PM
Mount Holyoke College
81629
Clapp Laboratory 402;
adurfee@mtholyoke.edu
Topics include: interest rates, forwards and futures, options, payoff diagrams, binomial trees, risk-neutral valuation, geometric Brownian motion, stochastic calculus, Ito's lemma, Black-Scholes, volatility smiles, exotic options, the Greeks, Monte Carlo methods and statistical analysis of NYSE stock data.
Prereq: Mathematics 203 and 211