Spring 2025 Mathematics GR5010 section 001

INTRO TO THE MATH OF FINANCE

INTRO TO THE MATH OF FINA

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 5:05PM Sunday, December 8, 2024
Subject Mathematics
Number GR5010
Section 001
Division Interfaculty
Open To GSAS
Note Priority to MAFN students, then STAT students.
Section key 20251MATH5010W001