About this Course
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.
Prerequisites: Entry-level college calculus courses that include an introduction to multivariable differential calculus, such as the UW courses Math 124, Math 125 or Math 126. Additional introductory mathematics and statistics coursework is desirable.