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MATH 5870/6870: Financial Mathematics

2021 Fall, Auburn University


Instructor Dr. Le Chen
Email le.chen@auburn.edu
Class Time MWF, 10:00 -- 10:50
Class Room PARKR 228
Office hours MWF, 13:00 -- 13:50

Course description

The course serves as an introduction to mathematical aspects of pricing of financial derivatives including the Black-Scholes model and the binomial option pricing model. Topics also include partial differential equations and relevant numerical methods.


The following two books will be the main references for this course:


The course will cover the following topics


Students obligations

In order to successfully master the material and complete the course, you are expected to

Note: The syllabus was created in March 2021, and it is subject to changes during the semester.





Tentative schedule


Honor code


Your success in this class is important to me. We will all need accommodations because we all learn differently. If there are aspects of this course that prevent you from learning or exclude you, please let me know as soon as possible. Together we’ll develop strategies to meet both your needs and the requirements of the course.

I encourage you to visit the Office of Accessibility to determine how you could improve your learning as well. You can register and make a request for services from the Office of Accessibility. In this case, please do inform me of such requests. See the following link for more information:

Harassment and Discrimination

Auburn University is committed to providing a working and academic environment free from prohibited
discrimination and harassment and to fostering a nurturing and vibrant community founded upon the
fundamental dignity and worth of all its members. Auburn University prohibits harassment of its
students and employees based on protected classes and works to eliminate prohibited behavior from
its academics and employment through corrective measures and education.

The Office of AA/EEO oversees compliance with the Policy Prohibiting Harassment of Students, the
Policy Prohibiting Harassment of Employees, and the Policy on Sexual and Gender-Based Harassment and
Other Forms of Interpersonal Violence.

Protected classes are race, color, sex (which includes sexual orientation, gender identity, and
gender expression), religion, national origin, age, disability, protected veteran status, or genetic

Auburn University also prohibits retaliation against any individual for opposing a practice he/she
reasonably believed to be discriminatory; for filing an internal or external complaint, grievance,
or charge; or for participating in any investigation or proceeding, in accordance with Auburn
University's policies.


© Le Chen, Auburn, 2021.