Topic for fall 2001: Advanced mathematical finance.
Instructor: Alan Durfee
Lectures: Monday and Wednesday 1:15--2:30, in Clapp 422. Friday 1:15--2:05 will be used as a fourth hour as necessary.
Course Description: The course in the fall of 2001 will be advanced mathematical finance. Topics to be selected from: equity price behavior, Brownian motion and the stochastic calculus, portfolios (risk and return, the efficient rontier, CAPM), bonds and other fixed-income products, models of interest rates, interest rate derivatives, and others.
Prerequsites: Mathematics 339 in the fall of 2001 (Introduction to mathematical finance), or permission of the instructor.
Textbook: John C. Hull, Options, Futures, and Other Derivatives (5th ed), Prentice-Hall 2002.
The address of this page is www.mtholyoke.edu/courses/adurfee/f02/math339/math339-gen.htm. It also can be reached through my web page, the web page of the Department of Mathematics and Statistics, and the MHC course web page.
The address for the daily schedule is www.mtholyoke.edu/courses/adurfee/f02/math339/math339-sch.htm.