Mathematical Finance II

Undergraduate

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