AMS 320, INTRODUCTION TO QUANTITATIVE FINANCE
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.
Prerequisite: AMS 311
Course offered in spring and summer semesters ONLY.
3 credits; A-F grading
Textbook for Winter, Spring and Summer 2020 Semesters:
"Options, Futures and Other Derivatives" by John C. Hull, published by Prentice-Hall 2008; 9th edition; ISBN: 978-0133456318
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.