MATH 623 - Computational Finance
Section: 001
Term: FA 2017
Subject: Mathematics (MATH)
Department: LSA Mathematics
Requirements & Distribution:
Waitlist Capacity:
Advisory Prerequisites:
MATH 316 and MATH 425 or 525.
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
May not be repeated for credit.
Primary Instructor:

This is a course in computational methods in finance and financial modeling. Particular emphasis will be put on interest rate models and interest rate derivatives. The specific topics include; Black-Scholes theory, no arbitrage and complete markets theory, term structure models: Hull and White models and Heath Jarrow Morton models, the stochastic differential equations and martingale approach: multinomial tree and Monte Carlo methods, the partial differential equations approach: finite difference methods.

For more information on this course, please visit the Department of Mathematics webpage

MATH 623 - Computational Finance
Schedule Listing
001 (LEC)
TuTh 10:00AM - 11:30AM
Note: Enrollment for this course is by waitlist only. Preference will be given to students in the Quantitative Finance & Risk Management program and Math PhD students. Prerequisites: Differential equations (e.g. Math 316); probability theory (e.g. Math 525/526, Stat 515); numerical analysis (Math 471 and Math 472); mathematical finance (Math 423 and Math 542/IOE 552, Math 506 or permission from instructor); programming (e.g. C, Matlab, Mathematica, Java).
NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.

Syllabi are available to current LSA students. IMPORTANT: These syllabi are provided to give students a general idea about the courses, as offered by LSA departments and programs in prior academic terms. The syllabi do not necessarily reflect the assignments, sequence of course materials, and/or course expectations that the faculty and departments/programs have for these same courses in the current and/or future terms.

Click the button below to view historical syllabi for MATH 623 (UM login required)

View Historical Syllabi
The CourseProfile (ART) system, supported by the U-M Provost’s 3rd Century Initiative through a grant to the Office of Academic Innovation, provides additional information about: course enrollments; academic terms and instructors; student academic profiles (school/college, majors), and previous, concurrent, and subsequent course enrollments.

CourseProfile (ART)