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 472 - Introduction to Derivative Securities. Derivative products have become ubiquitous in today's financial markets. If you are reading this and you don't know what financial derivatives are you can read this Wikipedia entry. Financial derivatives allowed Financial Mathematics to become the exciting and advanced subject that it is today. This course provides an overview of financial derivatives with an emphasis on the mathematical aspects of the subject. The course will cover futures and forwards, European options, binary options, currency and quanto options and we will also discuss some of the implications of American features. The course with introduce the arbitrage theory which is the most important assumption on which most of the basic pricing models are based. In this course, we will not derive the celebrated Black-Scholes formulas but we will make active use of them.