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MATH 2281 3.00MW (Winter 2012)
Financial Economics
Course Outline


Note that MATH 2131 is no longer a prerequisite.

Course Webpage


MWF 9:30-10:20 in CLH H (Curtis Lecture Halls)

Instructor/Contact Information:

The course is being co-taught by Prof. Kuznetsov and Salisbury. Kuznetsov will lecture in January, and Salisbury in February/March.

Tom Salisbury

Department of Mathematics and Statistics

Office hours:

Friday, 10:30-11:20


Options, Futures, and other Derivatives by John Hull, 8th edition (Pearson). The text is required, and the solutions manual is optional. The York bookstore should have both.


Course description:

This is a course about the mathematics of derivative securities and options, in discrete time. It is designed to follow MATH 2280, which treats the mathematics of cash flow and bonds. We will consider the no-arbitrage theory of pricing, forward contracts and futures, American and European options, put-call parity, hedging, interest rate derivatives, binomial models and the Black-Scholes-Merton pricing formula. We will make connections with the continuous-time theory (known as stochastic calculus), but will not cover the latter mathematically.

This course is a requirement for the specialized honours actuarial stream of the mathematics for commerce program, and for the financial mathematics stream of the computational mathematics program. Any actuarial student wishing to write exam MFE of the Society of Actuaries should consider this course, because that examination is largely based on this material.