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Fall 2021 Mathematics GR5010 section 001
INTRO TO THE MATH OF FINANCE
INTRO TO THE MATH OF FINA

Call Number 10773
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 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 145 students (150 max) as of 9:06PM Friday, November 26, 2021
Subject Mathematics
Number GR5010
Section 001
Division Interfaculty
Campus Morningside
Note Priority to MAFN students, then STAT students.
Section key 20213MATH5010W001

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SIS update 11/26/21 21:06    web update 11/26/21 21:23