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Last update: May 29, 2021 - 3:00 PM
Visit this page frequently for important changes and additions!


Course Material

Remote Teaching:
   
  1. You MUST set yourself up with Zoom to be able to attend lectures and discussion sections remotely. How to: Visit https://binghamton.zoom.us/ .
  2. If you already have a free/personal Zoom account, you will still need to get a Binghamton University's Zoom Account at https://binghamton.zoom.us/ .
  3. Support for your Zoom account is available via the Information Technology Services Help Desk at 607-777-6420 and/or helpdesk@binghamton.edu.
Recorded Zoom Lectures:
   
  1. Fri, 02-12 •  Mon, 02-15 •  Tue, 02-16 •  Wed, 02-17 •  Fri, 02-19 •  Mon, 02-22 •  Tue, 02-23 •  Wed, 02-24 •  Fri, 02-26
  2. Mon, 03-01 •  Tue, 03-02 •  Wed, 03-03 •  Fri, 03-05 •  Mon, 03-08 •  Tue, 03-09 •  Wed, 03-10 •  Fri, 03-12
  3. Mon, 03-15: Exam 1 •  Tue, 03-16 •  Wed, 03-17: No class •  Fri, 03-19 •  Mon, 03-22 •  Tue, 03-23 •  Wed, 03-24 •  Fri, 03-26
  4. Mon, 03-29 •  Tue, 03-30 •  Wed, 03-31 •  Fri, 04-02 •  Mon, 04-05 •  Tue, 04-06 •  Wed, 04-07 •  Fri, 04-09
  5. Mon, 04-12 •  Tue, 04-13 •  Wed, 04-14 •  Fri, 04-16 •  Mon, 04-19: Exam 2 •  Tue, 03-20: No class •  Wed, 04-21 •  Fri, 04-23
  6. Mon, 04-26 •  Tue, 04-27 •  Wed, 04-28 •  Fri, 04-30 •  Mon, 05-03 •  Tue, 05-04 •  Wed, 05-05 •  Fri, 05-07
  7. Mon, 05-10 •  Tue, 05-11 •  Wed, 05-12 •  Fri, 05-14 •  Sun, 05-16 (Review 1) •  Sun, 05-16 (Review 2) Mon, 05-17 Tue, 05-18

   
Stochastic Calculus for Finance II - Continuous Time Models by Steven Shreve (Springer, 2004; ISBN 978-0-387-40101-0) (the "SCF2 text", also just "SCF2") -- REQUIRED:
   
  1. I will strive to teach major portions of ch.1 through 6 from that book.
   
Additional References (Optional):
   
  1. Math 454 - Additional Material (lecture notes for the BU Math 454 course) by Michael Fochler (the "MF454 notes" or simply "MF454"). This document is in flow and I make no promises as to how much of the course material I will document there. Almost all of the material in chapters 2 and 3 of this first (2021-02-10) version is a straight copy from my Math 330 lecture notes (see below), but most of ch. 4 (Basic Measure and Probability Theory) you will find neither there nor in the Shreve text, so you should look at that.
    1. 2021-05-17 version       Reorg of ch.14.2 and 14.3 were added. This is the last version of those Math 454 lecture notes.
    2. 2021-05-12 version       Reorg of ch.14 + new Remark 14.1
    3. 2021-05-11 version       New chapter 14: Stochastic Methods for Partial Differential Equations.
    4. 2021-05-07 version       New chapter 13: Dividends.
    5. 2021-05-03 version       New chapter 12.6: Multidimensional Financial Market Models
    6. 2021-04-28 version       Additions to chapter 12 on Black--Scholes, part II.
    7. 2021-04-25 version       Started chapter 12 on Black--Scholes, part II.
    8. 2021-04-23 version       Added a brief chapter 11, Girsanov’s Theorem and the Martingale Representation Theorem.
    9. 2021-04-21 version       Added a very brief chapter 10, Multidimensional Stochastic Calculus.
    10. 2021-04-17 version       Chapter 9 is now complete: New subchapter 9.5 on the Greeks and put-call parity.
    11. 2021-04-11 version       Ch.6.1 (Basic Definitions for Financial Markets) has been completely revised. A new chapter 9 (Black-Scholes Model Part I: The PDE) has been started.
    12. 2021-04-03 version       Ch.8 now has exercises.
    13. 2021-04-01 version       New ch.8 on 1-dimensional stochastic calculus.
    14. 2021-03-25 version       Additions to ch.7.
    15. 2021-03-21 version       Finished all additions to ch.6.
    16. 2021-03-18 version       Lots of additions to ch.6, in particular to ch.6.2.2 (Multiperiod model). Look at the lengthy example at the end before and during the Fri 3/19 lecture!
    17. 2021-03-11 version       More additions to ch.6, mostly to ch.6.2.1 (One period model) discrete time versions of martingales and Markov processes.
    18. 2021-03-09 version       Changes are mostly confined to ch.6 and 7.1: discrete time versions of martingales and Markov processes.
    19. 2021-03-04 version       Added optional chapter on product measures and started a first chapter on financial models.
    20. 2021-03-03 version       Chapter 5 on conditional expectations was erroneously commented out in the student edition. Added a new chapter 6, Brownian Motion, but it so far only contains some generalities about stochastic processes.
    21. 2021-03-01 version       Added chapters on convexity, independence, conditional expectations. Check all ``Addenda to ch. ...'' for additional material!
    22. 2021-02-25 version       Added ch.4.5--4.6 and started ch.5.
    23. 2021-02-21 version       Changed definition of integrability in def.14.4; Additions to ch.4.4: Convergence of Measurable Functions and Integrals.
    24. 2021-02-19 version       Now has a subchapter on integration and expectations.
    25. 2021-02-14 version       Many changes and additions to ch.4.2 and 4.3.
    26. 2021-02-10 version       First version for the semester.
  2. Brownian Motion Calculus by Ubbo F. Wiersema (Wiley, 2008)
  3. Stochastic Calculus for Finance I - The Binomial Asset Pricing Model by Steven Shreve (Springer, 2004)
  4. If you have some background in measure theoretical probability theory: Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal (Springer, 6th edition, 2003)
  5. Remedial Math: Sets, functions, equivalence relations, convergence and continuity, ...
    1. The Art of Proof: Basic Training For Deeper Mathematics, by M. Beck and R. Geoghegan (Springer, 2010). You should review:
      1. chapters 5, 6.1, 9.1
    2. Math 330 - Additional Material (lecture notes for the BU Math 330 course) by Michael Fochler (the "MF330 notes" or simply "MF330"). Review the following:
      1. ch. 2.1-2.3, ch.5, ch.8.1, 8.3, 8.4, ch.9.3,
      2. ch.11 (except for ch. 11.2.2 and 11.2.3).
      Here is a link to the 2020-11-28 version
  6. Here are guidelines for what to observe when you take quizzes or major exams on Blackboard.