Math 591A: Financial Mathematics
Krzysztof Burdzy
Autumn 1999, MWF 12:30-1:20
This one-quarter class will be a crash course on pricing financial
derivatives (options, contingent claims). Unlike two-quarter courses
offered in 1997-98
and 1998-99 on the same topic, this course will not cover much theoretical
background (martingales) or discuss various models in financial mathematics.
I will experiment by trying to present enough stochastic analysis in one
quarter to be able to derive the famous Black-Scholes formula using Itô
calculus.
The class will not be rigorous in the strict mathematical sense and
so students from various departments are encouraged to consider it.
However, the material requires ability to absorb many new ideas in a short
time. The pace will be fast and the class might be hard despite lack
of rigor.