ASRM 510 Fall 2021

ASRM 510 (Financial Mathematics)

Section T1

CRN 69944

 

Topics:
  • Pairs Trading
  • Gaussian random variables
  • Central Limit Theorem
  • Information
  • Returns and Log Returns
  • Brownian Motion
  • Brownian Quadratic Variation
  • Ito Calculus
  • Binomial Models
  • Martingale pricing
  • Interest rate models
Grading policy: Final grades will be determined on the basis
of the total numerical score (and will be curved).  There will be a number of extra credit opportunities.

Component Weight
Hourly Exam (9/21) 15% of grade
Hourly Exam (10/14) 15% of grade
Hourly Exam (11/11) 15% of grade
Final (1:30-4:30 December 15) 20% of grade
Quizzes, Projects, Homework 35% of grade

Logistical notes: