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Spring 2019 Mathematics GR5010 section 001
INTRO TO THE MATH OF FINANCE
|Day & Time
207 Mathematics Building
|Method of Instruction||Classroom|
|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.|
|Enrollment||122 students (150 max) as of 9:04PM Friday, April 19, 2019|
|Final Exam Day/Time|
|Final Location||207 Mathematics Building|
|Open To||Barnard, Columbia College, Engineering and Applied Science: Graduate, Graduate School of Arts and Science, General Studies, School of Professional Studies, Global Programs, International and Public Affairs|
|Note||Priority to MAFN students, then STAT students.|
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