Mathematics of Finance II

Catalog description

This is the second 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 delta hedging, introduction to Ito calculus, interest rate models and Monte Carlo simulations. 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.