Catalogue 2019 - 2020

MATH 406 Mathematical Finance


3 cr.


MATH 372


MATH 236 is a pre- or co-requisite

Course Description

This is a course in the mathematical theory of financial risk management. The first part of the course is spent on developing both discrete and continuous models for ex-dividend stock price movements and portfolio management, pricing stock options (European, American and Exotic) by the CRR formula (discrete) or the Black-Scholes formula (continuous) or Monte-Carlo simulation and hedging risks by option greeks. The second part of the course is spent on mean-variance analysis for portfolio diversification, focusing on derivations of minimum variance portfolio, Capital Market Line and CAPM formula.


every other spring