General information

Instructor Erik van Erp
Lecture MWF 2:10-3:15
x-Hour Thursday, 1:20-2:10
Classroom 108 Kemeny
Email erikvanerp AT
Office Hours Monday 3:30-5:00, Tuesday 2:30-4:00
Office 308 Kemeny


This course provides an introduction to financial mathematics, with an emphasis on stochastic calculus and its application to derivative pricing. After a brief introduction of the main ideas in the context of a discrete time-step model, we spend significant time on the mathematics of continuous random processes (like stock prices). The focus is on the application of these mathematical models to the problem of derivative pricing. Topics include: the binomial asset pricing model; the use of sigma-algebras in probability theory; conditional expectations; random walks and brownian motion; the Ito calculus; risk-neutral pricing; the Black-Scholes formula.


Stochastic Calculus for Finance, Volumes I and II, by Steven E. Shreve


There will be two in-class midterm exams and a cumulative final exam during finals week. The exams are scheduled as follows:

Exam 1 Tuesday, January 28, 4-6 PMLocation TBA
Exam 2 Tuesday, February 18, 4-6 PMLocation TBA
Final Exam Monday, March 9, 11:30 AM - 2:30 PMLocation TBA

If you have a conflict with one of the midterm exams because of a religious observance, scheduled extracurricular activity such as a game or performance [not practice], or similar commitment, please see your instructor as soon as possible. If you must miss a class, it is your responsibility to submit all homework on time.

Homework Policy 

Homework is assigned at the end of each week, as listed under the homework tab of this web site. A new pset is posted each Friday, and is due the next Wednesday. No late homework will be accepted.


The course grade will be based on your scores on exams and homework.

The Honor Principle

Academic integrity is at the core of our mission as mathematicians and educators, and we take it very seriously.

Cooperation on homework problems is permitted, but you should write up your own solutions.

On exams, you may not give or receive help from anyone. Exams in this course are closed book.


Students with disabilities who will be taking this course and may need disability-related classroom accommodations are encouraged to make an appointment to see their instructor as soon as possible. For further information on the available support services, please contact Student Accessibility Services.