Intro to Financial Mathematics Question

[Dipesh Mehta]

I am an undergrad student at Baruch College and Andrew Lesniewski might be teaching Intro to Financial Mathematics in the fall 2014 semester. The only prerequisite is Calc 2 (previously it was both calc 2 and probability). I plan on taking probability in the same semester. By then, I will have had calc 1, 2, linear algebra, statistics, and corp fin under my belt. Is there a programming component to a class like that? Also, how much of a disadvantage will I be at if I don't have other math classes under my belt? I have the time to study (taking 14-17 credits and no internship), and I plan on applying to the top MFE and Masters in Finance programs (except Carnegie) for 2015 enrollment. I am willing to take the chance to have Lesniewski as my professor since I am sure that someone like him, won't teach at the undergrad level often.

This is the description of the class. it would be nice if someone can simplify this for me. Thanks!


This course is an introduction to the mathematical methods used in finance and their practical applications. The course begins with a review of discrete and continuous probability, including brownian motion. The finite difference methods, Monte Carlo simulation, Newton’s method, and the least squares problem will be studied. These methods will be applied to solve the Black-Scholes equation, price American options, price exotic options, and find the zero curve. Other topics include forwards and futures, arbitrage pricing theory, bonds and swaps, bootstrapping, European and American options, put-call parity, binomial trees for options pricing, and exotic options.

 

[C S]

I am an undergrad student at Baruch College and Andrew Lesniewski might be teaching Intro to Financial Mathematics in the fall 2014 semester. The only prerequisite is Calc 2 (previously it was both calc 2 and probability). I plan on taking probability in the same semester. By then, I will have had calc 1, 2, linear algebra, statistics, and corp fin under my belt. Is there a programming component to a class like that? Also, how much of a disadvantage will I be at if I don't have other math classes under my belt? I have the time to study (taking 14-17 credits and no internship), and I plan on applying to the top MFE and Masters in Finance programs (except Carnegie) for 2015 enrollment. I am willing to take the chance to have Lesniewski as my professor since I am sure that someone like him, won't teach at the undergrad level often.

This is the description of the class. it would be nice if someone can simplify this for me. Thanks!


This course is an introduction to the mathematical methods used in finance and their practical applications. The course begins with a review of discrete and continuous probability, including brownian motion. The finite difference methods, Monte Carlo simulation, Newton’s method, and the least squares problem will be studied. These methods will be applied to solve the Black-Scholes equation, price American options, price exotic options, and find the zero curve. Other topics include forwards and futures, arbitrage pricing theory, bonds and swaps, bootstrapping, European and American options, put-call parity, binomial trees for options pricing, and exotic options.

There *should* be a programming component to complement this material but that's up to the professor.

You should strengthen your basic probability intuition. A fun way of doing this, and a way I learned a lot more from than formal texts, is to study Mosteller's fifty challenging problems in probability.

Terence Tao wrote a neat little intro to Black Scholes in the binomial setting. Read it to get a taste. http://terrytao.wordpress.com/2008/07/01/the-black-scholes-equation/

 

[bigbadwolf]

The finite difference methods, Monte Carlo simulation, Newton’s method, and the least squares problem will be studied. These methods will be applied to solve the Black-Scholes equation, price American options, price exotic options, and find the zero curve.

Ask the prof though I strongly suspect there is. It could well be in Matlab (e.g., using Brandimarte's book). Or it could be in C++ (using Capinskii and Zastawniak's book).