New Mathematics Course Spring 2019
Mathematics 179/197: Topics in Financial Mathematics
Instructor: D. W. Taylor
This course is a sequel to Math 174E (which is a prerequisite). It commences with a brief review of the pricing methods, including Black-Scholes theory of 174E, in the case when dividends occur. It then studies the topics of exotic options, Value at Risk, market price of risk, and real options. It continues with topics in portfolio optimization such as diversification, mean-variance analysis, Capital Asset Pricing model, efficient portfolio. Finally, it covers foundational topics in corporate finance such as leverage, risk, cost of capital, Modigliani-Miller theory, project analysis and financial distress.
Math 179 is recommended to students who wish a stronger background in the financial theory. Special Note for FAM majors: Math 179 covers topics in financial theory needed for the expanded (2018) syllabus of the Investment and Financial Mathematics (IFM) examination of the Society of Actuaries. Together with 174E, essentially all topics in the syllabus are covered. Sample IFM exam problems will be used in class and discussion.