Juniors/Seniors in Business, Economics, and the hard and soft Sciences
One semester of probability/statistics
One semester of differential equations
Develops probabilistic mathematical models (Brownian motion, expected values, correlation, regression) and analytic mathematical models (partial differential equations) for the world of finance and economics
Emphasizes computational finance incorporating real world data through Excel and Maple
Stresses the interplay of the models and the real world with the real world as the final arbiteur
An introduction to concepts in economics and finance
Multistep binomial models for options
Excel spreadsheet model calculations
The Black Scholes formula for call and put options
The Black Scholes differential equation
Swaps, fixed income securities , and forward interest rates
The Vasicek, Cox-Ingersol-Ross, and HJM models for bond prices
Models for cross-country risk
Published Material About This Course
Goodman, V. and Stampfli, J., The Mathematics of Finance: Modeling and Hedging, Brooks/Cole, 2001.
Goodman, V. and Stampfli, J., Instructor's Guide for Stampfli and Goodman's The Mathematics of Finance, Brooks/Cole, 2001.
See these Examples.
Mathematics of Finance on the Web
Information for Master of Arts Degree in Mathematics with Specialization in the Mathematics of Finance
Short course description
Syllabus of previous Mathematics of Finance course
For Further Information, Contact ...
- Victor Goodman, Indiana University Bloomington Department of Mathematics
- Joseph Stampfli, Indiana University Bloomington Department of Mathematics