Intermediate Mathematical Finance

MATH381K

Elementary concepts and tools of mathematical finance for students with solid mathematics background. Focus on quantitative methods and logical thinking applied to pricing of derivative securities, portfolio management, and related questions. Topics include review of probability, concepts of Brownian motion, present value analysis, notions of arbitrage and arbitrage theorem, Black-Scholes formula. Appropriate for students heading to the finance industry, planning a Master’s in finance, or wanting an understanding of how financial markets actually work. Taught at Duke Kunshan. Prerequisites: Math 212 or 222 or equivalent multivariable calculus; basic probability useful but not required.

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