Subject associations
ORF 335
/ ECO 364
Term
Spring 2025
Instructors
Chris McCord
Registrar description
Financial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time, and calibration to market data. Credit derivatives, the term structure of interest rates, and robust techniques in the context of volatility options will be discussed, as well as lessons from the financial crisis.