- Mathematics of Finance
- Markov Chains and Probablity Theory
My Lecture Notes for Math 4740 prepared by Julienne LaChance - the first course on Math Finance usually oferred in the fall semester -- are available upon request
The syllabus for Math 6740 - second course on Math Finance oferred in the spring - will be availble in class and will focus on the Black-Scholes theory using a basic approach to stochastic integrals, SDE and Gaussian distributions which replaces the prerequisite of measure theory and the full rigor of Ito's calculus with calculation methods and algorithms that are suitable for students with an undergrad preparation in probability and statistics, and for practitioners on finance. The second course will provide the concepts and skills needed to work with SDE within finance. Additional applications to Network Science, Math Physics and Engineering topics will be discussed. This course will be useful to advanced undergrads and graduate students, especially in FERA, Lally, CS, Math, but also other science and engineering majors and social scientists interested in quantitative tools.