Spring 2024 Mathematics GR5010 section 001

INTRO TO THE MATH OF FINANCE

INTRO TO THE MATH OF FINA

Call Number 12374
Day & Time
Location
MW 7:40pm-8:55pm
207 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required Instructor
Instructor Mikhail Smirnov
Type LECTURE
Method of Instruction In-Person
Course Description Prerequisites: MATH UN1102 and MATH UN1201 , or their equivalents. Introduction to mathematical methods in pricing of options, futures and other derivative securities, risk management, portfolio management and investment strategies with an emphasis of both theoretical and practical aspects. Topics include: Arithmetic and Geometric Brownian ,motion processes, Black-Scholes partial differential equation, Black-Scholes option pricing formula, Ornstein-Uhlenbeck processes, volatility models, risk models, value-at-risk and conditional value-at-risk, portfolio construction and optimization methods.
Web Site Vergil
Department Mathematics
Enrollment 115 students (150 max) as of 2:06PM Sunday, December 8, 2024
Subject Mathematics
Number GR5010
Section 001
Division Interfaculty
Open To GSAS
Section key 20241MATH5010W001