MATH-UA 250 Mathematics of Finance

4 points. Fall and Spring terms.

Course Description

Introduction to the mathematics of finance. Topics include: Linear programming with application pricing and quadratic. Interest rates and present value. Basic probability: random walks, central limit theorem, Brownian motion, lognormal model of stock prices. Black-Scholes theory of options. Dynamic programming with application to portfolio optimization.

Prerequisites

Students must earn grades of C+ or higher in the following three prerequisite courses:

  1. MATH-UA 123 Calculus III or MATH-UA 129 Honors Calculus III or MATH-UA 133 Math for Economics III
  2. MATH-UA 140 Linear Algebra or MATH-UA 148 Honors Linear Algebra
  3. An introductory course in probability or statistics. Acceptable courses include:
    • MATH-UA 233 Theory of Probability
    • MATH-UA 234 Mathematical Statistics
    • MATH-UA 235 Probability & Statistics
    • MATH-UA 238 Honors Theory of Probability
    • ECON-UA 18 Statistics
    • ECON-UA 20 Analytical Statistics
    • STAT-UB 103 Statistics for Business Control and Regression Models

Course Syllabi or Websites by Semester