Mathematics of Finance I

Catalog description

This is the first course in a sequence that examines mathematical and statistical models in finance. By taking a mathematical viewpoint the course provides students with a comprehensive understanding of the assumptions and limitations of the quantitative models used in finance. Topics include probability rules and distributions, the binomial and Black-Scholes models of derivative pricing, interest and present value, and ARCH and GARCH time series techniques. The course is mathematical in nature and assumes a background in calculus (including Taylor series), linear algebra and basic probability. Other mathematical concepts and numerical methods are introduced as needed.