Financial Math Graduate Courses
This is not necessarily the official description for the courses. For the official descriptions, consult the 2008 - 2009 graduate catalog.
Description: Convergence of random variables and their probability laws, maximal inequalities, series of independent random variables and laws of large numbers, central limit theorems, martingales, Brownian motion. Contemporary theory of stochastic processes, including stopping times, stochastic integration, stochastic differential equations and Markov processes, Gaussian processes, and empirical and related processes with applications in asymptotic statistics.
Prerequisites: MATH 5111
Credits: 3
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Description: Convergence of random variables and their probability laws, maximal inequalities, series of independent random variables and laws of large numbers, central limit theorems, martingales, Brownian motion. Contemporary theory of stochastic processes, including stopping times, stochastic integration, stochastic differential equations and Markov processes, Gaussian processes, and empirical and related processes with applications in asymptotic statistics.
Prerequisites: MATH 5160
Credits: 3
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Description: Solution of first and second order partial differential equations with applications to engineering and science.
Prerequisites: Not open to students who have passed MATH 3435. Not open for graduate credit toward degrees in mathematics.
Credits: 3
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Description: Development of mathematical models emphasizing linear algebra, differential equations, graph theory and probability. In-depth study of the model to derive information about phenomena in applied work.
Credits: 3
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Description: Theory of linear programming: convexity, bases, simplex method, dual and integer programming, assignment, transportation, and flow problems. Theory of nonlinear programming: unconstrained local optimization, Lagrange multipliers, Kuhn-Tucker conditions, computational algorithms.
Credits: 3
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Description: The mathematics of measurement of interest, accumulation and discount, present value, annuities, loans, bonds, and other securities.
Prerequisites: Not open to students who have passed MATH 2620Q.
Credits: 3
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Description: The continuation of Math 365, focusing on the mathematics of finance: measurement of financial risk and the opportunity cost of capital, the mathematics of capital budgeting and securities valuation, mathematical analysis of financial decisions and capital structure, and option pricing theory. Provides VEE credit in the Corporate Finance subject area for Society of Actuaries and Casualty Actuarial Society requirements.
Credits: 3
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Description: Introduction to the use of mathematical and statistical techniques to solve a wide variety of organizational problems. Topics include linear programming, project scheduling, queuing theory, decision analysis, dynamic and integer programming and computer simulation.
Prerequisites: Not open to students who have passed MATH 4535, STAT 4535, or STAT 5535.
Credits: 3
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Description: Individual and collective risk theory, distribution theory, ruin theory, stoploss, reinsurance and Monte Carlo methods. Emphasis is on problems in insurance.
Offered: Fall
Credits: 3
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Description: An introduction to the standard models of modern financial mathematics including martingales, the binomial asset pricing model, Brownian motion, stochastic integrals, stochastic differential equations, continuous time financial models,
completeness of the financial market, the Black-Scholes formula, the fundamental theorem of finance, American options, and term structure models.
Offered: Spring
Credits: 3
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Description: Participation in internship and paper describing experiences.
Credits: 1 to 3
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Description: Seminar. Participation and presentation of mathematical papers in joint student faculty seminars. Variable topics
Credits: 1
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