174E Mathematics of Finance

Summer 2018

Course Information


Instructor: Alexey Miroshnikov

Office: MS 6322

Office Hours: MWR 1:00-2:00

Email: amiroshn@math.ucla.edu

Syllabus: [on CCLE]

PIC Lab (MS 2000): [link]

Course Description


Modeling, mathematics, and computation for financial securities. Price of risk. Random walk models for stocks and interest rates. No-arbitrage theory for pricing derivative securities; Black/Scholes theory. European and American options. Monte Carlo, trees, finite difference methods. P/NP or letter grading.

Course Schedule


Time Day Room
Lecture 11:00 - 12:50 MWR Kinsey Pavilion 1200B

So far we covered


Dates Sections covered
06/24-07/01

Announcements


Midterm: July 12, in class
Final: August 2, in class