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MATH 2281 3.00MW (Winter 2013)
Financial Economics
Course Outline


Note that MATH 2131 is no longer a prerequisite.

Course Webpage


MWF 9:30-10:20 in HNE 031 (Health, Nursing, Environmental Studies building)

Instructor/Contact Information:

Tom Salisbury

Department of Mathematics and Statistics

Office hours:

Wednesday, 11:00am-12:00 noon


Options, Futures, and other Derivatives by John Hull, 8th edition (Prentice Hall).
I will assume you have access to the textbook for purposes of additional reading or homework. It is available in the bookstore. Because the book has few worked problems, I also got the bookstore to order the solutions manual, but I will not refer to it or assume you have it. Strictly speaking you don't absolutely need to buy the textbook, as my course notes will be available on the web. But if you don't buy the text, you will need to refer to the copy on reserve in Steacie library.


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.