Mathematical Finance Minicourse

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Here are materials for participants in the MAA Minicourse on Mathematical Finance presented August 4-5, 2005 at the Mathfest in Albuquerque, NM:

PartA2005a.doc --- Notes from Part A, August 4. WORD document, 35 pages.

PartB2005a-handout.doc --- Notes from Part B, August 5. WORD document, 18 pages. (Actually there are two versions. The previous link is to a version optimized for printing; the longer version is PartB2005a-long.doc.

pricesD.xls --- large Excel file from Aug. 4, with downloaded price histories for three stocks and some graphs; 3.0 MB.

AppleMicrosoft.xls --- small Excel file used Aug. 5 to simulate daily standard deviations from mixtures of AAPL and MSFT; 72 KB.

BlackScholes.xls --- small Excel file that implements the Black Scholes call option formula; 15 KB.


Here's a list of texts and references. All of these are good, and worth looking at. The list is nowhere near complete and is in no particular order. Links are to Cambridge University Press or to Amazon.

Ross, Sheldon M., An Elementary Introduction to Mathematical Finance, 2nd Ed. (2002), Cambridge University Press, ISBN 0521814294.

Baxter and Rennie, Financial Calculus (1996), Cambridge University Press, ISBN 0521552893.

Wilmott, Howison, Dewynne, The Mathematics of Financial Derivatives (1995), Cambridge University Press, ISBN 0521497892.

Neftci, An Introduction to the Mathematics of Financial Derivatives (2000), Academic Press, ISBN 0125153929.

John C. Hull, Introduction to Futures and Options Markets, 3rd Ed. (1997), Prentice Hall, ISBN=0138891486.

Wilmott, Paul Wilmott on Quantitative Finance, 2-volume set (2000), John Wiley & Sons, ISBN=0471874388.

Etheridge, A Course in Financial Calculus, 2002, Cambridge University Press, ISBN=0521890772.

Authoritative References (not mainly aimed at mathematicians):

John C. Hull, Options, Futures, and Other Derivatives (6th Edition, June 2005), Prentice Hall, ISBN 0131499084.

Brealy and Myers, Principles of Corporate Finance, paperback edition 2002, McGraw, ISBN 0071151451


Also, here's a link to the course website for Math 225 at Bryn Mawr, fall 2004:
http://www.brynmawr.edu/math/people/stromquist/math225/index.html




For what it's worth, here are the (obsolete) corresponding files from the mathematics meetings on January 5 and 7, 2005:

2005PartA.doc --- Notes from Part A, January 5. WORD document, 37 pages. (Note: This version corrects some errors from the original version. Thanks especially to Don Minassian for sharp eyes.)

2005PartB.doc --- Notes from Part B, January 7. WORD document, 18 pages.

prices2005.xls --- large Excel file from Jan. 5, with downloaded price histories for four stocks and some graphs; 2.2 MB.

AppleMicrosoft.xls --- small Excel file used Jan. 7 to simulate daily standard deviations from mixtures of AAPL and MSFT; 72 KB.

BlackScholes.xls --- small Excel file that implements the Black Scholes call option formula; 15 KB.