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Phone: (603) 646-xxxx
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Email: reg@Dartmouth.EDU

Organization, Regulations, and Courses 2017-18


MATH 96 Mathematical Finance II

This course is a continuation of MATH 86 with an emphasis on the mathematics underlying fixed income derivatives. Topics may include: stochastic calculus, Radon-Nikodym derivative and change of measure, Girsanov's theorem, the Martingale representation theorem, interest rate models (e.g., H-J-M, Ho-Lee, Vasicek, C-I-R), interest rate derivatives, interest rate trees and model calibration, and credit derivatives. Offered in alternate years

Prerequisite

MATH 86.

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

Not offered in the period from 17F through 19S