Continuous Time Finance, Spring 2004
Robert V. Kohn
Professor of Mathematics
Courant Institute, New York University

This is a ``second course'' in arbitrage-based pricing of derivative securities,
continuing where the ``first course'' Derivative Securities left off. The 
first 1/3 of the semester will be devoted to the Black-Scholes
model and its generalizations (equivalent martingale measures;
the martingale representation theorem; the market price of risk; applications
including change of numeraire and the analysis of quantos). The next 1/3 will
be devoted to interest rate models (the Heath-Jarrow-Morton
approach and its relation to short-rate models; applications including
mortgage-backed securities). The last 1/3 will address more advanced 
topics, including the volatility smile/skew and approaches to
accounting for it (underlyings with jumps, local volatility models, and
stochastic volatility models).

   Syllabus, in postscript format, in pdf format
   Section 1, in postscript format, in pdf format
   Section 2, in postscript format, in pdf format
   Homework 1, in postscript format, in pdf format
   Section 3, in postscript format, in pdf format
   Homework 2, in postscript format, in pdf format
   Section 4, in postscript format, in pdf format
   Section 5, in postscript format, in pdf format
   Homework 3, in postscript format, in pdf format
   Section 6, in postscript format, in pdf format
   Homework 4, in postscript format, in pdf format
   Section 7, in postscript format, in pdf format
   Section 8, in postscript format, in pdf format
   Section 9, in postscript format, in pdf format
   Homework 5, in postscript format, in pdf format
   Section 10, in postscript format, in pdf format
   Homework 6, in postscript format, in pdf format
   Semester Review, in postscript format, in pdf format
   Final Exam, in postscript format, in pdf format