PSTAT276

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PSTAT 276 - ADVANCED MATHEMATICAL FINANCE

Statistics & Applied Probability College of Letters and Science

Full Course Title

ADVANCED MATHEMATICAL FINANCE

Instructor Name(s)

STAFF

Course Description

Advanced topics in asset pricing models, portfolio optimization, interest rate modeling and derivative pricing. Fundamental Theorem of Asset Pricing, Markowitz Mean-Variance Frontier, Capital Asset Pricing Theory, Monte Carlo methods and variance reduction techniques.

Units Fixed

Unit Value

Prerequisites

PSTAT 160A-B, PSTAT 170; PSTAT 160B may be taken concurrently. PSTAT 160A and PSTAT 170 must be completed with a B- or higher.