500 Level Math Courses
MA 510, Numerical Methods for Financial Mathematics
Teaches numerical methods aimed at implementing the mathematics developed in financial engineering. This includes practical implementation in C++ of numerical methods used in finance such as tree-based methods, finite differences, and Monte Carlo simulation. Prerequisite: Mathematics 501, passed with a grade of "C-" or higher.
- Texts: The Economics of John Maynard Keynes: The Theory of a Monetary Economy by Dudley D. Dillard; Modeling Derivatives in C++ (Wiley Finance) by Justin London; A Short History of Financial Euphoria (Penguin business) by John Kenneth Galbraith; C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) by M. S. Joshi; C++ Programming by Larry E. Ullman and Andreas Signer; Excel Scientific and Engineering Cookbook (Cookbooks (O'Reilly)) by David M. Bourg
- Sample Syllabus
MA 520, Introduction to Financial Mathematics
An introduction that combines the topics of finance to mathematics. Topics include: introduction to pricing of derivative securities markets; futures, swaps; options and bonds. Prerequisite: Permission of the director of the MSFM or department chair.
- Text: Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by John Hull
- Sample Syllabus
Exposes students to some of the techniques from stochastic analysis that are employed in mathematical finance. This includes the importance in the revolution that has taken place in the financial markets over the last twenty-five years. Topics include developing the relationship between Brownian motion and stochastic calculus. Prerequisite: Permission of the director of the MSFM or department chair.
- Texts: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) by Robert A. Jarrow; Programming: Principles and Practice Using C++ by Bjarne Stroustrup; Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Falcon Crack; Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by John Hull
- Sample Syllabus
MA 540, Statistical Theory in Finance and Economics
Covers topics related to multiple regression techniques, including testing the assumptions required for each to be valid. This includes applications to yield curve smoothing, pricing, and investment models. Also covered are techniques for the analysis and modeling of time series data, forecasting and market risk measures. In addition, factor analysis, structural equation modeling, and other multivariate techniques will be covered. Prerequisites: Mathematics 520 and 530, both passed with a grade of "C-" or higher.
- Texts: Applied Regression Analysis: A Second Course in Business and Economic Statistics (with CD-ROM and InfoTrac?) (Applied Regression Analysis: A Second Course in Business & Economic) by Terry E. Dielman; Analysis of Financial Time Series (Wiley Series in Probability and Statistics) by Ruey S. Tsay; Introductory Econometrics for Finance (Information Technology & Law S) by Chris Brooks; RATS Handbook to Accompany Introductory Econometrics for Finance by Chris Brooks; Statistical Analysis of Financial Data in S-PLUS by R. Carmona; Statistics and Finance: An Introduction by David Ruppert
- Sample Syllabus
MA 550, Computation and Simulation in Finance
Teaches the most fundamental aspect of financial mathematics and numerical implementation from a practical business. Topics include Black Scoles equations; Tree based and Monte Carlo methods. Products. Prerequisites: Mathematics 520 and 530, both passed with a grade of "C-" or higher.
- Texts: The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) by M. S. Joshi; Introductory Statistics with R (Statistics and Computing) by Peter Dalgaard; Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) by Robert A. Jarrow; Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Falcon Crack; Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by John Hull
- Sample Syllabus
