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 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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