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

MATH-UA 123 Calculus III or MATH-UA 213 Math for Economics III (for Economics majors), and an introductory course in probability or statistics (MATH-UA 233 Theory of Probability, MATH-UA 235 Probability and Statistics, ECON-UA 18 Statistics, ECON-UA 20 Analytical Statistics, STAT-UB 103 Statistics for Business Control and Regression/Forecasting Models, or equivalent) with a grade of C+ or better.

Course Syllabuses or Websites by Semester