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Apr 18, 2024
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2016-2018 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]
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FRE-GY 6083 Quantitative Methods in Finance3 Credits
This course focuses on quantitative methods and financial modeling. Probability theory, stochastic processes and optimization are studied and applied to a broad variety of financial problems and their derivatives. Topics include probability spaces; conditional probability; densities; distributions; density estimators; multivariate probability; moment generating functions; random walks; Markov processes; Poisson processes; and the Brownian-motion process.
Prerequisite(s): Students are expected to know calculus and elementary probability, and Graduate Standing.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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