Description: Financial Mathematics is an exciting subject. It is a highly relevant subject and a very marketable skill. It is also a great opportunity to use the Mathematics that you have learned in prior courses. Financial Mathematics requires Probability and Statistics, Calculus and Linear Algebra. We teach Financial Mathematics in a unique way. I designed these courses to focus on the very essential aspects of the subject. One of my Wall Street mentors once summarized to me his view of Mathematics: Money now is better than money later and the rest is details. Our courses follow this mantra: we always emphasize the main idea. That said, we don't forget that details are important!

We place a very strong emphasis on implementation. When you take our Financial Mathematics courses be prepared to spend time learning new tools and developing real life financial applications. Excel is often the best tool as it provides a very nice GUI and a diverse suite of mathematical functions. When heavier computations are necessary, we recommend Matlab.

Finally, one of the best ways to deploy your applications is via an internet browser. We can teach you how to develop web applications with GWT (although I am still learning GWT myself) or as a sever-side application (I prefer Java Server Pages).Also, you are always welcome to use your favorite tool whether it's Java, C++, Scheme or any other environment. Remember - we are just as happy to learn as we are to teach!

The reason for the emphasis on implementation is twofold. First, being able to build your own implementations of your ideas is a great skill. First of all, it will distinguish you from your colleagues (unless they also took our courses) and will make you more marketable. Not having to wait for someone to program you ideas and to be able to actively interact with your tools is just a superior professional experience. Second, learning by programming is very effective. It requires that you understand the main idea and that you work out all the details. Overlooking a detail, no matter how small, will preclude your program from running correctly. By the time you have built a working program - you have understood the material thoroughly!

Math 449: Fixed Income Mathematics is an introduction to interest rates. It is important because interest rates are a critical element of every financial product. The Mathematics of fixed income securities is very simple - it is merely a repeated application of geometric series. The challenging part of the course is learning to distinguish between mathematical facts, conventions and terms of contracts. (For example, semiannual compounding - is it a quoting convention or a material part of a contract that affects the cash flows? The answer is it depends.) The course covers compounding, yield curves, yield curve arbitrage and yield curve stripping. The discussed financial instruments include loans, bonds, mortgages and mortgage-back securities, and swaps.