MATH 210

MATH210: Introduction to Financial Mathematics

Post January details

  • Lectures will still be recorded and posted to Panopto, but I strongly prefer you attend in person.
  • Office Hours will meet once a week on zoom, and once in person. Please use the office hours link on Blackboard. Office Hours are not recorded.
  • All exams will be held in-person only.

Instructor

  • Alex Carney
    E-mail: alexanderjcarney at rochester dot edu
    Office: Hylan 1015
    Lectures: MW 2:00-3:15PM Meliora 221 (on Zoom for January)
    Office Hours (for January):
    Tuesday, 4-5pm, on Zoom
    Wednesday 3:20-4:20 in 1015 Hylan.

TAs

  • John Mantus
    E-mail: jmantus at u dot rochester dot edu
    Office Hours: 3:30-4:30pm Monday, Gleason Studio 3.
  • Yiheng Mao
    E-mail: ymao16 at u dot rochester dot edu
    Office Hours: 3-4pm Thursday (Zoom link on Blackboard).

Course description

Mathematical concepts and techniques underlying finance theory; arbitrage pricing theory and option pricing.

It’s also helpful to know what this course is not. It’s not an Econ course, and we won’t be predicting the behavior of individual stocks or the market as a whole. It’s also not an applied finance course, and we won’t be constructing full portfolios that would make sense in the real world. We will, though, be learning much of the math needed to understand the world of modern financial derivatives.


Prerequisites

FIN 205 and (MTH 143 or 162) and (one of STT 211, 212, 213, ECO 230, or MTH 201). The prerequisites will not be strictly enforced, but they are recommended.


Textbook

An Introduction to Quantitative Finance, Stephen Blyth


Additional Resources

  • Kyle Hambrook’s Lecture Notes from Math 210 in 2017

  • Optional Textbook: A Primer for the Mathematics of Financial Engineering, Dan Stefanica


Useful Programs

None of these will be necessary, but you may find them useful for some homework problems, especially towards the end of the course when we cover Black-Scholes.

The Mathematica software package is very useful resource. It can compute normal probabilities as well as probabilities for other distributions. It is available free for students here:

Here are links to phone apps for computing normal probabilities, as well as probabilities for other distributions.


Academic Integrity Statement

  • All assignments and activities associated with this course must be performed in accordance with the University of Rochester’s Academic Honesty Policy. More information is available at: www.rochester.edu/college/honesty.

  • Math Dept policy on unauthorized online resources:

Any usage whatsoever of online solution sets or paid online resources (e.g. chegg or similar) is considered an academic honesty violation and will be reported to the Board on Academic Honesty. In particular, any assignment found to contain content which originated from such sources is subject to a minimum penalty of zero on the assignment and a full letter grade reduction at the end of the semester (e.g. a B would be reduced to a C). Depending on the circumstances, this may apply even if the unauthorized content was obtained through indirect means (through a friend for instance) and/or the student is seemingly unaware that the content originated from such sources. If you have any questions about whether resources are acceptable, please check with your instructor.

Disability Support

The University of Rochester respects and welcomes students of all backgrounds and abilities. In the event you encounter any barrier(s) to full participation in this course due to the impact of disability, please contact the Office of Disability Resources. The access coordinators in the Office of Disability Resources can meet with you to discuss the barriers you are experiencing and explain the eligibility process for establishing academic accommodations. You can reach the Office of Disability Resources at: (585) 275-3424; Taylor Hall. Or, visit Disability Resources.

Please note that to be granted alternate testing accommodations, you (the student) must fill out forms with Disability Resources at least seven days before each and every exam. These forms are not sent automatically. Instructors are not responsible for requesting alternative testing accommodations at CETL or making accommodations on their own.

College Credit-Hour Policy

This course follows the College credit hour policy for four-credit courses. This course meets 3 academic hours per week. Students may also be expected to deepen their understanding of the course material through close examination/evaluation of the readings assigned in the course.