Intro to the Math of Finance
7:40pm–8:55pm
MATHEMATICS BUILDING MAT 207
Morningside
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
Description
Prerequisites: MATH UN1102 and MATH UN1201 , or their equivalents. Introduction to mathematical methods in pricing of options, futures and other derivative securities, risk management, portfolio management and investment strategies with an emphasis of both theoretical and practical aspects. Topics include: Arithmetic and Geometric Brownian ,motion processes, Black-Scholes partial differential equation, Black-Scholes option pricing formula, Ornstein-Uhlenbeck processes, volatility models, risk models, value-at-risk and conditional value-at-risk, portfolio construction and optimization methods.
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Instructor quality
n=18, 2001–2025
Aggregated across every course Mikhail Smirnov has taught.
Teaching quality
4.5 / 5
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No signal
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1.5 / 5 · Light
Difficulty
2.8 / 5 · Moderate
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In your week
Where it meets
Flat map — motion reduced
Workload and grading
- Grading
- Not published
- Format
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- Credits
- 3 credits
Reported workload
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