New course for Spring 2005
Mathematical Finance
Co-listed as Math 580 and Stat 601
Math/Stat Department, American University
Monday and Wednesday 5:20 - 6:35 PM
This course introduces the mathematical study of financial
instruments such as futures, options, and swaps. The main emphasis
is on the mathematical analysis that is used to determine the value
of these products.
Arbitrage arguments and the risk-neutral valuation technique
are the principal tools and are used to derive
the famous Black-Scholes option pricing formula. Hedging, its
connections with linear regression (betas), the stochastic process for
stock prices, sensitivity analysis, and binomial models are also
discussed in the course.
Students will use real
data to analyze stock performance in R or S-Plus.
Prerequisites: 2 semesters of calculus, linear algebra and a probability or statistic course OR permission of the instructor.
The text will be An introduction to Mathematical Finance, Second Edition by Sheldon Ross.
(For more information on the book, look at the publisher's
website where you can find a table of contents, or Amazon.com).
Options, futures and other derivatives by John Hull will be used for supplementary material.
Please contact me if you have any questions.
Professor John Nolan, e-mail: jpnolan@american.edu, phone: 202-885-3140
You can take courses at AU without being in a degree program. You
can register without coming to campus by downloading a form and faxing
the completed form to us. Click here: non-degree student information .
financetools.r - R functions to work with finnace data
John Nolan's homepage