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18.642 | Fall 2024 | Undergraduate

# Topics in Mathematics with Applications in Finance

This lecture explores the fundamental concept of risk-neutral pricing as a powerful framework for derivative valuation, illustrated through examples like forward contracts and options. It further explains the derivation of the Black-Scholes equation from stochastic calculus, highlighting how derivative prices depend primarily on volatility and interest rates, not on investors’ risk preferences, and concludes with practical insights into option replication and hedging strategies.

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## Course Info

##### Instructors

- Dr. Peter Kempthorne
- Dr. Vasily Strela
- Dr. Jake Xia

##### Departments

- Mathematics

##### As Taught In

Fall 2024

##### Level

Undergraduate

##### Topics

- Business
  - Finance
- Mathematics
  - Applied Mathematics
  - Probability and Statistics

##### Learning Resource Types

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theaters Lecture Videos
assignment Problem Sets
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