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Organization, Regulations, and Courses 2020-21


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.