FNCE 696 - Mathematical Finance
Professors Sanjiv Das (Finance) and Dan Ostrov (Mathematics)
Mathematical Finance is a rapidly expanding interdisciplinary field that involves mathematics and models for financial markets. Finance has become an increasingly quantitative discipline, and financial institutions are hiring graduates in finance, economics, mathematics, physics, and engineering. A solid mathematical and financial foundation is necessary to understand new paradigms in finance, and employers are also looking for graduates trained in both disciplines, with particular emphasis on modeling ability. This course will comprise an immersion into the mathematics and models of modern finance, with an emphasis on conceptual and mathematical understanding, as well as building and implementing models. It will be technology dependent since computers are essential to solving problems in this field.
1. Conceptual: Learn the ideas and intuition for a range of models that are widely used in finance today.
2. Technical: Learn tools for mathematical modeling using mathematics and software, such that one may implement the chosen conceptual framework. To fortify the learning in finance classes in the business school with mathematical content that permeates many aspects of modern mathematical finance. To develop required skills in the following areas: Probability, Calculus, Stochastic Analysis, Numerical Analysis, Optimization Theory.
3. Judgmental: Learn when it is best to apply the appropriate conceptual framework and tools to different financial problems and settings.
4. The course is suited to students in the business school with quantitative backgrounds who are interested in delving deeper into the mathematical aspects of these subjects.
5. To develop the ability to read research articles in the area of Mathematical Finance.
6. To develop the ability to build software to implement mathematical finance models.
Students will need to take FNCE 451 and FNCE 455 prior to enrolling in FNCE 696. Not required, but recommended, are previous courses in linear algebra and multivariate calculus.
These are recommended - we do not require a mandatory text.
* Baz, Jamil., and George Chacko. “Financial Derivatives: Pricing, Applications and Mathematics. Cambridge University Press.
* Neftci, Salih. “An Introduction to the Mathematics of Financial Derivatives”, Academic Press.
* Joshi, Mark. “The Concepts and Practice of Mathematical Finance”, Cambridge University Press.
* Homework: 30%
* Mid-term: 30%
* Final group projects: 20%
* Final exam: 20%