Mathematical Methods for Quantitative Finance
School: University of Washington
Start Date: May 19, 2014 (8 Weeks Long)
Workload: 8-10 Hours Per Week
Instructor: Kjell Konis
Credentials: Professor Konis is an assistant professor of applied mathematics at the University of Washington. Konis, who earned an MSc in mathematics and a DPhil in computational statistics at the University of Oxford, was previously a research associate at the Federal Institute of Technology in Switzerland. He has also developed several statistical packages for the R environment.
Graded: Certificates of completion will not be issued for this course.
Description: This course helps students to master mathematical fundamentals that underlie finance concepts like “fixed income, options and derivatives, portfolio optimization, and quantitative risk management.” In particular, it focuses on single and multi variable calculus, linear algebra, optimization methods, and numerical techniques. The content is delivered through 8-12 minute lecture videos, with a video and homework assignment accompanying each.
Additional Note: Before enrolling, students should complete an entry-level calculus course that includes multivariable differential calculus. Koljis also considers statistics coursework to be “valuable” and recommends that students read D. Stefanica’s A Primer for the Mathematics of Financial Engineering.