
This course is an introduction to the mathematical methods used in finance and their practical applications. The course begins with a review of discrete and continuous probability, including brownian motion. The finite difference methods, Monte Carlo simulation, Newton’s method, and the least squares problem will be studied. These methods will be applied to solve the BlackScholes equation, price American options, price exotic options, and find the zero curve. Other topics include forwards and futures, arbitrage pricing theory, bonds and swaps, bootstrapping, European and American options, putcall parity, binomial trees for options pricing, and exotic options.

