Information Page

Course Description:

This is an introductory ungraduate course in Financial Mathematics. Prerequisites for the course are the basic calculus 50 sequence with linear algebra and differential equations. Financial Mathematics is a very broad and expanding area. We will focus on the mathematics of financial derivatives, which involves differential equations and probability, and provides a nice introduction into how some rather advanced mathematics enter in modern finance. This is your first course in modern applied mathematics.

Instructor:

Name	Office	Phone	Office Hours	email
George Papanicolaou	383V	723-2081	Tues -Thursday 10:30-12:00, or by appointment	papanico@math.stanford.edu

TA-1:

Name	Office	Phone	Office Hours	email
Sverrir Thorvaldsson	381H		Tu 2:30-5:00, W: 11:00-1:00, Th: 2:30-4:00	sverrir@math.stanford.edu

TA-2:

Name	Office	Phone	Office Hours	email
Peter Cotton	381M		M 3:45-6:45 and W 3:45-6:45	cotton@math.stanford.edu

Textbook

The textbook for the course is "The Mathematics of Financial Derivatives, A Student Introduction ", by Wilmott, Howison and Dewynne (Cambridge University Press 1995) and it is in the bookstore.

Background in Probability will be provided as needed, at the level of math 151. The text for that course is "Probability", by Pitman (Springer Verlag 1993), and will be used here as a reference text. Background in Partial Differential Equations will also be provided as needed, at the level of math 131. The text for that course is "Partial Differential Equations, an Introduction", by Strauss (Wiley 1992) and will be used as a reference text.

Grading Policy

There will be homeworks assigned every Thursday, collected one week later, graded and returned one week after that. Homeworks will be 20% of the grade. There will be a midterm, in class, on Tuesday April 25. It will count for 30%. The final will be, according to the Spring Quarter Time Schedule, on Monday June 5, 12:15-3:15pm, and will count for 50%.