Introduction to Financial Mathematics
ORF 335/ECO 364
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Financial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time, and calibration to market data. Credit derivatives, the term structure of interest rates, and robust techniques in the context of volatility options will be discussed, as well as lessons from the financial crisis.
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Section L01
- Type: Lecture
- Section: L01
- Status: O
- Enrollment: 79
- Capacity: 81
- Class Number: 40437
- Schedule: MW 01:30 PM-02:50 PM - Friend Center 006
Section P01
- Type: Precept
- Section: P01
- Status: O
- Enrollment: 30
- Capacity: 32
- Class Number: 40438
- Schedule: M 07:30 PM-08:20 PM - Sherrerd Hall 101
Section P02
- Type: Precept
- Section: P02
- Status: O
- Enrollment: 23
- Capacity: 30
- Class Number: 40439
- Schedule: T 07:30 PM-08:20 PM - Sherrerd Hall 101
Section P03
- Type: Precept
- Section: P03
- Status: O
- Enrollment: 26
- Capacity: 30
- Class Number: 40440
- Schedule: M 10:00 AM-10:50 AM - Engineering Quad E-Wing E225