2007 Fall MATH 215-01
Bulletin Course 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. Instructor: Staff
(Instructor named in bulletin description above may not be current. For current instructor, see listing below.)
Title MATHEMATICAL FINANCE Department MATH Course Number 2007 Fall 215 Section Number 01 Primary Instructor Huber,Mark Permission required? N Course Homepage courses.duke.edu
Prerequisites
Math 103, 104, and 135 (or Stat 104) or permission of instructor. No course in finance is required.
Synopsis of course content
The last thirty years have seen in explosion in the market for financial instruments. Not just stocks, commodities, and currency are traded. Now markets include a multitude of derivatives for sale. In order to intelligently price these new instruments, mathematical models are needed. The simplest continuous models include geometric Brownian Motion, leading to the Black-Scholes model. In this course the tools to deal with this model and others will be developed, together with explanations of the basic ideas and concepts of mathematical finance.
This course is crosslisted as Econ 225.
Textbooks
(to be determined)
Assignments
There will be weekly assignments testing your ability to utilize concepts discussed in lecture the previous week.
Exams
There will be two midterms and one final examination.
Term Papers
There is no term paper for this course.
Grade to be based on
The homework will be worth 20%, each of the two midterms will be worth 20%, and the final will be worth 40% of your grade.
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