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MATH 86: MATHEMATICAL FINANCE

For Economics majors interested in mathematics and finance ...

  • Black Scholes Merton

MATH 86: MATHEMATICAL FINANCE
Instructor: John W. Welborn
Email: John.W.Welborn@dartmouth.edu Office Hours: By Request
COURSE DESCRIPTION
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.
PREREQUISITES
MATH 20 and MATH 40, or MATH 60; MATH 23; and COSC 1 or the equivalent.

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