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Catalog Description: The course introduces the main classes of financial securities, the mathematical tools employed to model their prices, and common models for risk and investment management.  Building realistic models relies on having a working knowledge of the empirical properties of financial asset returns which is another focus of the course.  R is used as an environment for modeling.

PrerequisiteAMS 311

Course offered in spring semester ONLY.

3 credits; A-F grading

Textbook for Spring 2017 Semester:
"Options, Futures and Other Derivatives" by John C. Hull, published by Prentice-Hall 2008; 7th edition (will accept 6th-9th editions); ISBN:  978-0136015864


Week 1:  Time value of money

Week 2:  Bonds and bond pricing

Week 3:  Determinants of interest rates

Week 4:  Equities and real estate

Week 5:  Exchange rates

Week 6:  Derivative securities I

Week 7:  Derivative securities II

Week 8:  Empirical properties of financial time series

Week 9:  Modern portfolio theory

Week 10:  The CAPM and other asset pricing models

Week 11:  Bond analysis

Week 12:  Option pricing models

Week 13:  Portfolio risk and performance analysis

Week 14:  Summary of methods, special topics, review for final


Learning Outcomes for AMS 320, Introduction to Quantitative Finance

1.) Become familiar with the empirical properties of financial time series.

2.) Learn the main asset classes and the factors affecting their prices.

3.) Understand the principles and the quantitative models of risk and investment management.

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