Derivative Securities

G63.2791.001 and B40.7312.010
Courant Institute of Mathematical Sciences,
New York University
Fall Semester, 2010
Review Session Monday, December 20, 5 to 7pm room 101
Sample final posted, check back for more questions.


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

Teaching Assistants

Yuenyuan Zhou (Sophia)
office hours: Mondays 5 to 7pm
room 705 in Warren Weaver Hall

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. Mathematical tools are developed as needed, including elements of partial differential equations and stochastic calculus. Students will do some light computing using Microsoft Excel and VBA and a little C++. See the detailed syllabus for more information.


A mastery of multivariate calculus, multivariate probability, and linear algebra. Basic computing skills including some programming experience in some language such as VBA, Matlab, C/C++, Java, Python, etc.