{"id":17125454,"url":"https://github.com/daleroberts/math-finance-cheat-sheet","last_synced_at":"2026-01-31T07:03:45.153Z","repository":{"id":16607024,"uuid":"19361731","full_name":"daleroberts/math-finance-cheat-sheet","owner":"daleroberts","description":"Mathematical finance cheat sheet.","archived":false,"fork":false,"pushed_at":"2019-08-30T02:32:38.000Z","size":2742,"stargazers_count":233,"open_issues_count":1,"forks_count":32,"subscribers_count":14,"default_branch":"master","last_synced_at":"2025-06-24T00:44:28.440Z","etag":null,"topics":["finance","mathematics","probability"],"latest_commit_sha":null,"homepage":"","language":"TeX","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"gpl-3.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/daleroberts.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2014-05-02T00:19:01.000Z","updated_at":"2025-06-14T17:44:11.000Z","dependencies_parsed_at":"2022-07-26T06:02:11.084Z","dependency_job_id":null,"html_url":"https://github.com/daleroberts/math-finance-cheat-sheet","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/daleroberts/math-finance-cheat-sheet","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/daleroberts%2Fmath-finance-cheat-sheet","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/daleroberts%2Fmath-finance-cheat-sheet/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/daleroberts%2Fmath-finance-cheat-sheet/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/daleroberts%2Fmath-finance-cheat-sheet/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/daleroberts","download_url":"https://codeload.github.com/daleroberts/math-finance-cheat-sheet/tar.gz/refs/heads/master","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/daleroberts%2Fmath-finance-cheat-sheet/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":28932604,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-01-31T04:05:25.756Z","status":"ssl_error","status_checked_at":"2026-01-31T04:02:35.005Z","response_time":128,"last_error":"SSL_read: unexpected eof while reading","robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":false,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["finance","mathematics","probability"],"created_at":"2024-10-14T18:44:56.321Z","updated_at":"2026-01-31T07:03:45.136Z","avatar_url":"https://github.com/daleroberts.png","language":"TeX","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Mathematical Finance Cheat Sheet\n\nA one page cheat sheet (double-sided) on some of the main tools and models used in Mathematical Finance. A 'Brownian Motion only' version can be found in this [branch](https://github.com/daleroberts/math-finance-cheat-sheet/tree/bm-only/). Download the [PDF](https://rawgithub.com/daleroberts/math-finance-cheat-sheet/master/math-finance-cheat-sheet.pdf), here is a thumbnail:\n\n![thumbnail](https://rawgithub.com/daleroberts/math-finance-cheat-sheet/master/thumb.png)\n\nThis cheat sheet is aimed for students and derivative-pricing quants that are interviewing. In fact, this is what I give my undergraduate students for their final exam. It has a stronger focus on interest-rate derivative results since most \"Black Scholes\" results are easily derived from scratch. Explicit pricing formulas (e.g., bonds or options under the Vasicek or CIR model) are not given as I typically assume they can also be derived as well (and they make fine exam questions).\n\n## Contents\n\n  * Normal random variables: univariate and multivariate case. Moment generating function.\n  * Gaussian shift theorem\n  * How to correlate Brownian motions\n  * How to identify a martingale from SDE representation\n  * Novikov's condition\n  * Stochastic integrals (on BM version)\n  * Itô's formula in one-dimensional case\n  * The product rule\n  * The Radon-Nikodym derivative\n  * Cameron-Martin-Girsanov Theorem and its Converse\n  * Martingale Representation Theorem\n  * Multidimensional Diffusions, Quadration Covariation, and Multi-dimensional Itô's Formulas\n  * The Stochastic Exponential\n  * Solving Linear Ordinary Differential Equations\n  * Solving Linear Stochastic Differential Equations\n  * Fundamental Theorem of Asset Pricing\n  * Market Price of Risk\n  * Black's Model\n  * Conversion between Forward Rates, Short Rates, Yields, and Bond Prices\n  * Short-Rate and No-Arbitrage Models\n  * Bond Pricing for Affine Models\n  * The Heath-Jarrow-Morton Framework\n  * The LIBOR Market Model\n  \n \n## Contributions\n\nContributions to this cheat sheet will generally be accepted if they fit within the philosophy that everything fits to a double-sided A4 page.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fdaleroberts%2Fmath-finance-cheat-sheet","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fdaleroberts%2Fmath-finance-cheat-sheet","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fdaleroberts%2Fmath-finance-cheat-sheet/lists"}