Office of the Registrar
Campus Address
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03755-3529
Phone: (603) 646-xxxx
Fax: (603) 646-xxxx
Email: reg@Dartmouth.EDU

Organization, Regulations, and Courses 2017-18


MATH 86 Mathematical Finance I

Financial derivatives can be thought of as insurance against uncertain future financial events. This course will take a mathematically rigorous approach to understanding the Black-Scholes-Merton model and its applications to pricing financial derivatives and risk management. Topics may include: arbitrage-free pricing, binomial tree models, Ito calculus, the Black-Scholes analysis, Monte Carlo simulation, pricing of equities options, and hedging.

Instructor

Nanda

Prerequisite

MATH 20 and MATH 40, or MATH 60; MATH 23; and COSC 1 or the equivalent.

Distributive and/or World Culture

QDS

The Timetable of Class Meetings contains the most up-to-date information about a course. It includes not only the meeting time and instructor, but also its official distributive and/or world culture designation. This information supersedes any information you may see elsewhere, to include what may appear in this ORC/Catalog or on a department/program website. Note that course attributes may change term to term therefore those in effect are those (only) during the term in which you enroll in the course.

Offered

17F: 12, 18F: Arrange