Math 358 Mathematical Finance

Objective and Overview

This course emphasizes the mathematics used in the valuation of derivative securities. It will cover the necessary tools for modeling price fluctuations in the stock market including Brownian motion, simple stochastic differential equatioins, Ito's lemma, Arbitrage theory, and the Black-Scholes equation. Students will learn how to solve the basic parabolic partial differential equations arising in finance both explicitly and numerically. 

Prerequisites 

Mature understanding of Multivariable Calculus and Math 251 Probability and permission of the instructor.  Some familiarity with simple partial differential equations would be helpful. 

Who should take this course?

This course is required for all MSFE students.

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