Quantitative finance is an exciting field where we apply mathematics, statistics, and computing to solve financial problems. The main finance areas where advanced quantitative techniques are applied are derivative securities (pricing and hedging), risk management, and portfolio management. This course introduces the fundamental mathematical and statistical tools of quantitative finance in a mathematically rigorous way, with applications. The core aims are the analysis of financial variables, the modeling of uncertainty and risk, and the building of market models for pricing and portfolio choices.
The plan of the course (subject to time availability) is as follows, where Miller and C&Z (Capinski and Zastawniak) refer to the two compulsory textbooks:
- Basic math and the time-value of money: Miller ch.1 and C&Z ch. 2.
- Review of basic probability and statistics: Miller ch.2 & 3.
- Distributions: Miller ch. 4 & 5 (excluding Copulas).
- Bayesian analysis: Miller ch. 6.
- Hypothesis testing and confidence intervals: Miller ch. 7.
- Matrix algebra: Miller ch. 8.
- Vector spaces: Miller ch. 9.
- Linear regression analysis: Miller ch. 10.
- Time-series models: Miller ch. 11.
- A simple market model: C&Z ch.1.
- Risky assets: C&Z ch. 3.
- Discrete-time market models: C&Z ch. 4.
This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.