Course Information

FRE6083 Quantitative Methods in Finance

Credits: 3.00

This course focuses on quantitative methods and financial modeling. Probability theory, stochastic processes and optimization are studied and applied to a broad variety of financial problems and their derivatives. Topics include probability spaces; conditional probability; densities; distributions; density estimators; multivariate probability; moment-generating functions; random walks; Markov processes; Poisson processes; and the Brownian-motion process.

Prerequisite: Students are expected to know calculus and elementary probability and Graduate Standing

Additional material: FRE 6083 QUANTITATIVE METHODS IN FINANCE.pdf