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Spring 2019 Mathematics GR5010 section 001
INTRO TO THE MATH OF FINANCE

Call Number 75979
Day & Time
Location
MW 7:40pm-8:55pm
207 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Mikhail Smirnov
Type LECTURE
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.
,
Web Site Vergil
Department Mathematics
Enrollment 122 students (150 max) as of 5:04PM Sunday, June 16, 2019
Status Full
Final Exam Day/Time
W 7:10pm-10:00pm
Final Location 207 Mathematics Building
Subject Mathematics
Number GR5010
Section 001
Division Interfaculty
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
Campus Morningside
Note Priority to MAFN students, then STAT students.
Section key 20191MATH5010W001

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SIS update 06/16/19 17:04    web update 06/16/19 17:18