Course description
This is the basic foundational class of the Mathematics in Finance program for the sell side of the quantitative finance industry. It covers the basics of forwards and options, and how they are used in the modern finance industry. Mathematical tools are developed as needed, including elements of partial differential equations and stochastic calculus. Students will do some light computing using Microsoft Excel and VBA and a little C++. See the detailed syllabus for more information.
Prerequisites
A mastery of multivariate calculus, multivariate probability, and linear algebra. Basic computing skills including some programming experience in some language such as VBA, Matlab, C/C++, Java, Python, etc.