CFRM 460 Mathematical Methods for Quantitative Finance

This MS-CFRM pre-program 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. 

Topics covered include the following:

  • 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
  • Vector and matrix arithmetic, determinants, eigenvalue-eigenvector decomposition, singular value decomposition
  • Numerical methods for optimization

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.

 

Course Dates:  Summer 2014: The course application will be available here.

Credits: Undergraduate level credit does not count toward the MS-CF&RM degree or the Computational Finance Certificate requirements. Credit will count towards the Quantitative Fundamentals Certificate in Computational Finance.

 

Single Course Enrollment Applicants:

·         To apply for single course enrollment please fill out the application here

·         Questions? Contact compfin@uw.edu.

 

Instructor: 
Kjell Konis
Prerequisites: 
Students should have completed entry-level college calculus courses that include an introduction to multivariable differential calculus (the UW Mathematics Department courses MATH 124, 125 and 126 are good examples, see course descriptions); additional introductory mathematics and statistics coursework is desirable.
Credits: 
3