Derivative Securities

G63.2791.001 and B40.7312.010, Meyer Hall, room 122, Wednesdays, 7 - 9 pm
A class in Mathematics in Finance
Courant Institute of Mathematical Sciences,
New York University
Fall Semester, 2009


Jonathan Goodman
room 529 Warren Weaver Hall
office hours: 4 to 6 pm Tuesdays
          or by appointment

Teaching Assistants


Course description

This is the basic foundational class of the Mathematics in Finance program for the sell side of the quantitative finance industry. It covers the basics of forwards and options, and how they are used in the modern finance industry. The main content and goals are (see syllabus for more details):

  • The main classes of derivative instruments and their uses
  • Arbitrage pricing arguments for futures and forwards
  • Binomial trees as theoretical models and a computational technique
  • Continuous time, geometric Brownian motion, and the theory of Black and Scholes
  • Sensitivities, risk factors, exposures, "the Greeks"
  • Limitations of simple models, market frictions, market incompleteness
  • Interest rate options and "bond math''
  • One factor models for pricing interest rate options
  • Credit risk and credit related products
  • Computing option prices and sensitivities using Excel/C++