MATH 3601 Investment Science
4 hours; 4 credits
Net present value, internal rate of return; yield, duration, immunization, and convexity of fixed-income securities; mean-variance portfolio theory, Markowitz model, CAPM, factor models, arbitrage pricing theory; models of asset dynamics, Ito's lemma, options theory, Black-Scholes equation; interest-rate derivatives. (This course is the same as Finance 3370 and [Business 3370] and Economics 3370.)
Prerequisite: Economics 3400 [30.2] or Business 3400 [30.2] or Mathematics *2501 [8.1] or Mathematics 3501 [51.1]; Mathematics *2201 [5.3].
Prerequisite or corequisite: Economics 2100 [10.1] or 2200 [20.1] or Business 2100 [10.1] or 2200 [20.1].
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