Mathematics 215: Mathematical Finance (Fall 2003)
Instructor
Xiaoying Dong
Description
An introduction to the basic concepts of mathematical
finance. Topics include modeling security price behavior, brownian and
geometric brownian motion, mean variance analysis and the efficient
frontier, expected utility maximization, Ito's formula and stochastic
differential equations, the Black-Scholes equation and option pricing
formula.
Students from departments outside of mathematics are encouraged to enroll.
Prerequisites
Math 103 (Multivariable calculus), 104 (Linear algebra), and 135
(Probability) or consent of instructor.
Text(s)
To be announced.
Course Website
For more information see Professor Dong.
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Duke University
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