Investment Science

Catalog description

Net present value, internal rate of return; yield, duration, immunization, and convexity of fixed-income securities; mean- variance portfolio theory, Markowitz model, CAPM, factor models, arbitrage pricing theory; models of asset dynamics, Ito's lemma, options theory, Black-Scholes equation, interest- rate derivatives. (This course is the same as Finance 3370 [Business 3370] and Mathematics 3601.)