MATH 96 Mathematical Finance II

This course is a continuation of MATH 86 with an emphasis on the mathematics underlying fixed income derivatives. Topics may include: stochastic calculus, Radon-Nikodym derivative and change of measure, Girsanov's theorem, the Martingale representation theorem, interest rate models (e.g., H-J-M, Ho-Lee, Vasicek, C-I-R), interest rate derivatives, interest rate trees and model calibration, and credit derivatives. Offered in alternate years

Instructor

Welborn & van Erp

Prerequisite

MATH 86, and Math 23.

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