| Call Number | 15380 |
|---|---|
| Day & Time Location |
MW 7:40pm-8:55pm To be announced |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| 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 | 12 students (150 max) as of 12:06PM Tuesday, December 3, 2024 |
| Subject | Mathematics |
| Number | GR5010 |
| Section | 001 |
| Division | Interfaculty |
| Open To | GSAS |
| Note | Priority to MAFN students, then STAT students. |
| Section key | 20251MATH5010W001 |