Mathematics 96 - Mathematical Finance II

Institution:

Dartmouth College

Subject:

Description:

09S: 10A Offered in alternate years This course is a continuation of Mathematics 86 with an emphasis on the mathematics underlying fixed income derivatives. Topics may include: stochastic calculus, Radon-Nikodym derivative and change of measure, Girsanov's theorem, the Martingale representation theorem, interest rate models (e.g, H-J-M, Ho-Lee, Vasicek, C-I-R), interest rate derivatives, interest rate trees and model calibration, and credit derivatives. Prerequisites: Mathematics 86. Dist: QDS. Chu.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.dartmouth.edu

Phone Number:

(603) 646-1110

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Quarter

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