Directory of Classes

NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information.

Fall 2021 Mathematics GR5420 section 001

Call Number 10785
Day & Time
S 10:10am-12:00pm
312 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Amal Moussa
Method of Instruction In-Person
Course Description Prerequisites: Math GR5010 Required: Math GR5010 Intro to the Math of Finance (or equivalent),Recommended: Stat GR5264 Stochastic Processes – Applications I (or equivalent) The objective of this course is to introduce students, from a practitioner's perspective with formal derivations, to the advanced modeling, pricing and risk management techniques that are used on derivatives desks in the industry, which goes beyond the classical option pricing courses focusing solely on the theory. The course is divided into four parts: Differential discounting, advanced volatility modeling, managing a derivatives book, and contagion and systemic risk in financial networks.
Web Site Vergil
Department Mathematics
Enrollment 41 students (70 max) as of 9:06PM Friday, November 26, 2021
Subject Mathematics
Number GR5420
Section 001
Division Graduate School of Arts and Sciences
Campus Morningside
Note MAFN Students ONLY. Open to STATS 9/7. Open to Univ. 9/13
Section key 20213MATH5420G001

Home      About This Directory      Online Bulletins      ColumbiaWeb      SSOL
SIS update 11/26/21 21:06    web update 11/26/21 21:23