- Dartmouth Economic Research Scholars (DERS)
- Fed Challenge
- Jobs, Fellowships and Interships
- Political Economy Project
- Study Abroad
- News & Events
Back to Top Nav
For Economics majors interested in mathematics and finance ...
MATH 86: MATHEMATICAL FINANCE
Instructor: John W. Welborn
Email: John.W.Welborn@dartmouth.edu Office Hours: By Request
Financial derivatives can be thought of as wagers on 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 will include arbitrage-free pricing, binomial tree models, measure theory, Ito calculus, the Black- Scholes analysis, derivatives pricing, volatility modeling, and hedging.
MATH 20 and MATH 40, or MATH 60; MATH 23; and COSC 1 or the equivalent.