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Fall 2019 Mathematics GR5260 section 001

Call Number 50646
Day & Time
R 8:10pm-10:00pm
312 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Keith Lewis
Method of Instruction Classroom
Course Description This course covers programming with applications to finance. The applications may include such topics as yield curve building and calibration, short rate models, Libor market models, Monte Carlo simulation, valuation of financial instruments such as options, swaptions and variance swaps, and risk measurement and management, among others. Students will learn about the underlying theory, learn coding techniques, and get hands-on experience in implementing financial models and systems.
Web Site Vergil
Department Mathematics
Enrollment 22 students (60 max) as of 3:03PM Wednesday, February 19, 2020
Subject Mathematics
Number GR5260
Section 001
Division Graduate School of Arts and Sciences
Campus Morningside
Note MAFN students only. Open to the University 9/10
Section key 20193MATH5260G001

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