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MATH GR5010 Introduction to the Mathematics of Finance. 3 points.

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.
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Spring 2018: MATH GR5010
Course Number Section/Call Number Times/Location Instructor Points Enrollment
MATH 5010 001/25984 M W 7:40pm - 8:55pm
207 Mathematics Building
Mikhail Smirnov 3 138/152
Fall 2018: MATH GR5010
Course Number Section/Call Number Times/Location Instructor Points Enrollment
MATH 5010 001/70828 M W 7:40pm - 8:55pm
207 Mathematics Building
Mikhail Smirnov 3 124/139

Applied Mathematics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/applied-mathematics/

Director of Undergraduate Studies: Prof. Ovidiu Savin, 409 Mathematics; 212-854-8233; savin@math.columbia.edu

Computer Science - Mathematics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/computer-science-mathematics/

Director of Undergraduate Studies: Prof. Ovidiu Savin, 409 Mathematics; 212-854-8233; savin@math.columbia.edu

Mathematics-Statistics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/mathematics-statistics/

Director of Undergraduate Studies: Prof. Ovidiu Savin, 409 Mathematics; 212-854-8233; savin@math.columbia.edu

Mathematics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/mathematics/

Director of Undergraduate Studies: Prof. Ovidiu Savin, 409 Mathematics; 212-854-8233; savin@math.columbia.edu

Mathematics

http://bulletin.columbia.edu/columbia-college/departments-instruction/mathematics/

...MATH UN3028 Partial Differential Equations . Students interested in finance are recommended to take MATH GR5010...

Statistics

http://bulletin.columbia.edu/barnard-college/courses-instruction/statistics/

...are recommended to include among their electives, MATH GR5010 Introduction to the Mathematics of Finance...

Statistics

http://bulletin.columbia.edu/columbia-college/departments-instruction/statistics/

...are recommended to include among their electives, MATH GR5010 Introduction to the Mathematics of Finance...

Statistics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/statistics/

...are recommended to include among their electives, MATH GR5010 Introduction to the Mathematics of Finance...