Lectures on Financial Mathematics

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Lectures on Financial Mathematics

We are developing a series of publicly available lectures that will lead in a very gentle way to the Black-Scholes Option Pricing Formula, and perhaps beyond. We hope you enjoy them.

NOTE: These lectures have audio.

Comments? Write to mfmath@umn.edu.

Lectures Currently Available

Lecture 1 - Notes on Financial Mathematics Duration: 33 slides (00:29:39) with audio.
Lecture 2 - Notes on Financial Mathematics - The Risk-Neutral World Duration: 42 slides (00:45:19) with audio.
Lecture 3 - Δ-Hedging Duration: 54 slides (01:12:28) with audio.
Lecture 4 - The Central Limit Theorem Duration: 219 slides (3:12:42) with audio. (NOTE: If you know Calculus, do only slides 138-219. Duration: 82 slides (1:23:31) with audio.)

Future Lectures

Random Variables (Should become available in late July 2008.)
        piecewise constant random variables
        independence
        expectation
        variance and standard deviation
        change of measure
        σ-algebras
        general random variables
The Central Limit Theorem Redux
Girsanov's Theorem
risk-neutral volatility is real-world volatility
First Derivation of Black-Scholes
Stochastic Processes
Stochastic Calculus
Stochastic Differential Equations
Itô's Lemma (a.k.a.~the Stochastic Chain Rule)
Black-Scholes Redux

Financial Mathematics
(612) 625-1306 mfmath@umn.edu
127 Vincent Hall
206 Church St. S.E.
Minneapolis, MN 55455 USA

www.math.umn.edu/finmath/lectures/index.shtml
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