
Teaching
Courses for
Spring 2019:
MATH 6385
ContinuousTime
Models in
Finance.
Text: Arbitrage
Theory in
Continuous Time,
(third edition),
by Tomas Bjork,
Oxford
University Press,
2009
TTH 2:304:00
p.m., C105
Syllabus
MATH 6397 Time
Series Analysis
Text: Time
Series Analysis,
by James D.
Hamilton
Princeton
University Press,
1994.
TTH
10:0011:30
a.m., AH203
Syllabus
Other Courses
Taught during
6/20026/2018:
MATH 7397 Levy
Processes for
Pricing
Financial
Derivatives
Texts:
Financial
Modelling with
Jump Processes,
Rama
Cont and Peter Tankov,
Chapman
&
Hall/CRC,
2004.
Levy
Processes in
Finance:
Pricing
Financial
Derivatives, by
Wim
Schoutens,
Wiley 2003.
MATH
4377/6308
Advanced Linear
Algebra
Text:
Linear Algebra,
4th edition, by S.
Friedberg, L.
Spence, and A.
Insel,
2015.
MATH 3338
Probability
Text:
A
First Course in
Probability,
9th
edition, by
Sheldon Ross,
2014
MATH 4380
Introduction to
Mathematical
Finance
Texts: Investment
Science, 2nd
edition, by David
G. Luenberger,
Oxford University
Press, 2014.
Options,
Futures, and
Other
Derivatives,
8th edition, by
John C.
Hull,
Prentice Hall,
2012.
MATH 6397
Stochastic
Processes
Texts: Adventures
in Stochastic
Processes,
by Sidney Resnick,
Birkhauser, 1992.
An
Introduction to
Stochastic
Processes,
by Edward P. C.
Kao, Duxbury
Press, 1997.
MATH
6397
Statistical
Computing
Text: Monte
Carlo
Statistical
Methods,
by Christian P.
Robert and George
Casella, 2004,
Springer.
MATH 6384
DiscreteTime
Models in
Finance.
Text:
Introduction to
Mathematical
Finance,
by Stanley R.
Pliska, 1997,
Blackwell
Publishing.
MATH 6385
ContinuousTime
Models in
Finance
Text:
Arbitrage Theory
in Continuous
Time, (third
edition), by Tomas
Bjork, Oxford
University Press,
2009
Option Pricing
and Portfolio
Optimization,
by Ralf Korn and
Elk Korn
Graduate Studies
in Mathematics,
Vol. 31, American
Mathematical
Society,
2001.
MATH 6397
Financial and
Energy Time
Series Analysis
Text:
Analysis of
Financial Time
Series, (third
edition), by Ruey
S. Tsay, Wiley,
2010.
MATH
7397 Time
Series Analysis.
Texts:
Time
Series Analysis, by
James D.
Hamilton,
2002,
Princeton
University
Press,
and Statistical
Models and
Methods for
Financial
Markets,
by Tze Leung
Lai and
Haipeng Xing,
2008,
Springer.
MATH 7397
Monte Carlo
Methods in
Financial
Engineering.
Text: Monte
Carlo Methods in
Financial
Engineering,
by Paul
Glasserman, 2004,
Springer.
MATH 7397
Monte Carlo
Statistical
Methods.
Text: Monte
Carlo
Statistical
Methods,
by Christian P.
Robert and George
Casella, 2004,
Springer.
MATH 6397
Valuation of
Credit
Derivatives.
Text: Credit
Derivative
Pricing Models,
by Philipp J.
SchĂ¶nbucher, 2003,
Wiley.
MATH 6382
Probability.
Text: An
Intermediate
Course in
Probability
(2nd edition), by
Allan Gut, 2009,
Springer.
MATH 6383
Statistics.
Text: Statistical
Inference
(2nd edition), by
George Casella and
Roger L. Berger,
2002, Duxbury
Press.
MATH 4397
Introduction to
Financial
Derivatives.
Text:
Options,
Futures, and
Other
Derivatives,
by John Hull,
Prentic Hall.
