ORF 335, ECO 364 : Introduction to Financial Mathematics

ORF 335, ECO 364 : Introduction to Financial Mathematics

Semester
Spring
Offered
2021
Financial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time, and calibration to market data. Credit derivatives,, and robust techniques in the context of volatility options will be discussed.  Thsi semester we will also discuss the calssical mean-variance problem and its connection to CPAM.