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Mathematics in Finance

Applied Mathematics for Business and Finance

Target Audience

  • Juniors/Seniors in Business, Economics, and the hard and soft Sciences

    Prerequisites

  • Calculus

  • One semester of probability/statistics

  • One semester of differential equations

    Course Features

  • 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

    Sample Topics

  • 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
      e-mail goodmanv@indiana.edu
    • Joseph Stampfli, Indiana University Bloomington Department of Mathematics
      e-mail stampfli@indiana.edu

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