**Section:**001

**Term:**WN 2018

**Subject:**Mathematics (MATH)

**Department:**LSA Mathematics

This class is a course on mathematical finance with an emphasis on numerical
and statistical methods. It is assumed that the student is familiar with basic theory
of arbitrage pricing of equity and fixed income (interest rate) derivatives in discrete
and continuous time. The course will focus on numerical implementations of these
models as well as statistical methods for calibration, *i.e.,* obtaining the parameters of
the models. Specific topics include finite-difference methods, trees and lattices and
Monte Carlo simulations with extensions.

**
Recommended Texts**

The following texts are recommended to enhance class lecture notes:

- Brigo and Mercurio: Interest Rate Models: Theory and Practice, Springer, 2007.
- Wilmott, Howison, Dewynne: The Mathematics of Financial Derivatives, Cambridge, 1995.
- Jaeckel: Monte Carlo Methods in Finance, Wiley, 2002.
**Course Requirements:**No data submitted

**Intended Audience:**Differential equations

*(e.g.,*MATH 316); basic probability theory*(e.g.,*MATH 425, STATS 515); numerical analysis (MATH 471); mathematical finance (MATH 423 and MATH 542/IOE 552 or permission from instructor); programming*(e.g.,*C, Matlab, Mathematica, Java).**Class Format:**No data submitted

*NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.*

**Note:**

**ISBN: 9780387216171**

**Optional**

**ISBN: 9780521497893**

**Optional**

**ISBN: 9783540346043**

**Optional**

**ISBN: 9780691089294**

**Optional**

**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.

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