Mathematical Methods for Quantitative Finance (CFRM 460)
Formerly known as AMATH 460
This course reviews the mathematical methods fundamental for the study of quantitative and computational finance. The areas of focus include calculus and multivariable calculus, constrained and unconstrained optimization, and linear algebra.
- Functions and inverse functions
- Limits, derivatives, partial derivatives, and chain rule
- Integrals and multiple integrals, changing the order of differentiation and integration
- Taylor series approximations
- Newton’s method
- Lagrange multiplier method
Upon completion of the course students will know the fundamental mathematical concepts needed to effectively study quantitative finance areas such as fixed income, options and derivatives, portfolio optimization, and quantitative risk management.
There are currently no sections of this course available.