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Columbia Campus    
2019-2020 Undergraduate Studies Bulletin 
    
 
  Nov 24, 2024
 
2019-2020 Undergraduate Studies Bulletin

MATH 515 - Financial Mathematics II

Credits: 3

Convex sets. Separating Hyperplane Theorem. Fundamental Theorem of Asset Pricing. Risk and expected return. Minimum variance portfolios. Capital Asset Pricing Model. Martingales and options pricing. Optimization models and dynamic programming.

Cross-listed Course: STAT 523

Prerequisites: C or better in MATH 514 or STAT 522 or consent of the Undergraduate Director