课程名称: Mathematical Methods for Quantitative Finance 计量金融的数学方法

课程主页: 暂无相关说明

所在平台: Coursera

课程类别: 商务经济（Business）

大学或机构: 华盛顿大学

讲师： Kjell Konis

授课语言： 英语

提供字幕： 英文

课程文件大小： 1.60GB

课程介绍： The Mathematical Methods for Quantitative Finance course reviews the mathematical methods fundamental for the study of quantitative and computational finance. The areas of focus include calculus and multivariable calculus, constrained and unconstrained optimization, and linear algebra.
Topics covered include the following:

Functions and inverse functions
Limits, derivatives, partial derivatives, and chain rule
Integrals and multiple integrals, changing the order of differentiation and integration
Taylor series approximations
Newton’s method
Lagrange multiplier method
Vector and matrix arithmetic, determinants, eigenvalue-eigenvector decomposition, singular value decomposition
Numerical methods for optimization
Course goal:
Upon completion of the course students will know the fundamental mathematical concepts needed to effectively study quantitative finance areas such as fixed income, options and derivatives, portfolio optimization, and quantitative risk management.

Course Objectives:
Upon completion of the course students will:

Understand the concept of a limit, differentiation, and integration;
Be able to compute partial derivatives and multiple integrals;
Understand the utility of matrix decompositions;
Be able to use Lagrange multipliers to solve constrained optimization problems; and
Apply the above methods to problems arising in finance.

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