Foundations of Quantitative Finance
AMS-511-01
Stony Brook University
- Semester
- Fall 2024
- Instructor
- Robert Frey
- Start Date
- 08-26-2024
- Total Credits
- 3
- Call to Register
- 631-632-6175
Take your class online with SUNY
You will learn the same curriculum as our on-campus students
Introduction to capital markets, securities pricing and modern portfolio theory, including the organization and operation of securities market, the Efficient Market Hypothesis and its implications, the Capital Asset Pricing Model, the Arbitrage Pricing Theory and more general factor models. Common stocks and their valuation, statistical analysis, and portfolio selection in a single-period, mean-variance context will be explored along with its solution as a quadratic program. Fixed income securities and their valuation, statistical analysis, and portfolio selection. Discussion of the development and use of financial derivatives. Introduction to risk neutral pricing, stochastic calculus and the Black-Scholes Formula. Whenever practical examples will use real market data. Numerical exercises and projects in a high-level programming environment will also be assigned.
Course Area: Statistics
Level: Graduate
Dates: 08-26-2024 - 12-19-2024
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- Instructor: Robert Frey
- Local Course ID: 24FA_STB_AMS511_01
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