Mathematics | The mathematics of Finance
M451 | 8671 | Goodman


Course covers probability theory, Brownian motion, Ito's Lemma, stochastic
differential equations, convexity, Hahn-Banach theorem, Lagrange
multipliers, Bellman equation, dynamic programming, and the application of
these topics to Black-Scholes formula, Capital Assets Pricing Model, the
term theory of interest rates, and the relation of Martingale measures to
arbitrage.