MATH 4140

Really solid class, Gromoll is great at explaining concepts in math finance. He's a probabilist and has never had experience in the trading/finance. From day 1, he makes it clear that the class would not be a finance class. The first 3-4 weeks of the course covers review of stochastic processes/sigma algebras/conditional expectation. So you don't actually start learning math finance until the first month. Then three exams are crammed in the last few months.

The first exam covers the binomial model on European contingent claims. The second covers American contingent claims, and the final is on the finite market model. In terms of difficulty, the second exam was far more difficult than the first (and had an average in the mid-50s). Gromoll doesn't use hard cutoffs in the class and rather your grade is based on how you did relative to the class. For example on the second exam the highest score was 45/50, and if you got over 80% you were in the top 10-15% of the class. For the third exam the material was crammed into the last few weeks of the class so I don't anticipate the 3rd exam average will be very high.

The class grade is completely determined by your performance on the three exams, so do your best not to tank any of the exams. The exams are almost exactly the same as the homeworks and proofs that were done in class or the textbook. The problem is that some of the concepts are a bit arcane to people especially if they're new to the topic so a lot of people don't do well.

Overall the class is incredibly interesting whether or not you're interested in finance. If you're not, you get to learn a bit of graduate-level math. Again, the class is pretty rigorous when it comes to the level of math taught. If you're interested in finance it's also very useful since you get to learn about a discrete-time version of Black-Scholes. Binomial/CRR/FMM aren't incredibly useful in the industry but they're still a solid base to have if you're planning on joining the finance train later.