Introduction to Financial Mathematics (MATH180, Fall 2000/01)

Course Description:

This is an introductory ungraduate course in Financial Mathematics. Prerequisites for the course are completion of the calculus MATH51/52/53 sequence with linear algebra as well as corequisites in probability (STAT116 or MATH151) and differential equations (MATH131). Financial Mathematics is a very broad and expanding area. We will focus on the mathematics of financial derivatives, which involves differential equations and probability, and provides a nice introduction into how some rather advanced mathematics enter in modern finance. This is your first course in modern applied mathematics.
Meeting: 380-380F, TTh 2:40 - 3:55.


Name Office Phone Office Hours email
Amir Dembo 383C 723-1851 Tu,Th 4:00-5:00, or by appointment


Name Office Phone Office Hours email
Michel Grueneberg 381H --- Tu 6:45-8:45pm, Th 5:30-7:30pm, Mo 9:00-10:00am or by appointment


Name email
Dimitrios Cheliotis


The textbook for the course is "The Mathematics of Financial Derivatives, A Student Introduction ", by Wilmott, Howison and Dewynne (Cambridge University Press 1995) and it is in the bookstore.

Background in Probability will be provided as needed, at the level of math 151. The text for that course is "Probability", by Pitman (Springer Verlag 1993), and will be used here as a reference text. Download a summary of formulas from math 151, in Postscript (PDF). Background in Partial Differential Equations will also be provided as needed, at the level of math 131. The text for that course is "Partial Differential Equations, an Introduction", by Strauss (Wiley 1992) and will be used as a reference text.

Grading Policy

Midterm on Tuesday October 31, in class, will count for 30% of grade Practice (PDF). Final will be held in room 550-550A, December 11, 3:30-6:30pm, and will count for 50%. Both exams are with closed books and closed notes. Four homework sets, collected in class on due date, graded and returned to class a week later, shall account for 20% of the grade. Late homework will not be accepted. Download homework sets provided below two weeks before due date and solutions provided below two days after the corresponding due date. HW1 (PDF) due 10/17, Solution (PDF); HW2 (PDF) due 11/7, Solution (PDF); HW3 (PDF) due 11/21, Solution (PDF); HW4 (PDF) due 12/5.

Syllabus (Chapters 1-7 of text):

	9/26       Tu(--)            Th(1)
	10/3       Tu(2.2)           Th(2.2/2.3)
	10/10      Tu(2.3/2.4)       Th(---)
	10/17      Tu(3.3/3.5)       Th(3.4/3.6/3.7/3.10)
	10/24      Tu(3.8/3.9)       Th(Review)
	10/31      Tu(Midterm)       Th(5.2/5.3)
	11/7       Tu(5.3/5.4)       Th(5.5/5.6)
	11/14      Tu(4.2/4.3)       Th(4.3/4.4)
	11/21      Tu(6.2/7.2)       Th(--)
	11/28      Tu(7.2/7.3/7.4)   Th(7.5/7.6/7.7)
	12/5       Tu(6.3/6.4/6.5)   Th(Review)

Information last updated: Dec. 4, 2000