Course Description
Pre-Requisite(s):
MATH 3100
The course will cover a broad range of topics, with the overall theme being the quantitative modeling of asset allocation and portfolio theory. It begins with deterministic cash flows (interest theory, fixed-income securities), the modeling of interest rates (term structure of interest rates), stochastic cash flows, mean-variance portfolio theory, capital asset pricing model, and the utility theory basis for financial modeling. Conceptual discussion in lectures is supplemented with hands-on practice in applied data-analysis tasks using Matlab or R statistical software.
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