Math 30610 Financial Mathematics (Spring 2021)
Introduction to financial mathematics
Useful to recall from calculus
- Algebraic manipulations: we will rely on manipulation
algebraic expressions and solving algebraic expressions
throughout the semester.
- Power functions: expressions of the form $x^3+x^5+x^8$, etc.
- $e^x$, $a^x$, $\ln x$: manipulations of the form $a^t =
e^{t \ln a}$, equations of the form $a^t = b$ then $t =
\log_a b=\ln b/\ln a$.
- Rational functions.
- Geometric series
- $1+x+x^2+\cdots+x^{n-1} =(x^n-1)/(x-1)$.
- $1+x+x^2+\cdots=1/(1-x)$ if $|x|\lt 1$.
- Derivatives
- $(x^n)' = n x^{n-1}$.
- $(a^x)' = a^x \ln a$.
- Chain rule, log derivatives.
- L'Hopital: for example limits of the form
$\lim_{x\to\infty}x(a^{1/x}-1)=\ln a$ and $\lim_{x\to\infty}(1+y/x)^x=e^y$.
- Approximations: $e^x\approx 1+x$ and $\ln(1+x)\approx x$ if $x$ is small,
$(1+x)^y\approx 1+xy$ if $x,y$ are small.
- Integrals
- $\int a^x dx$, $\int x^ndx$, etc.
- The Fundamental Theorem of Calculus
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