UC Mathematics

Quant Finance in Mathematica - 100% Online

Learn about Computational Financial Mathematics Using Mathematica this fall!

No previous knowledge of Mathematica is required, yet quick learning is achieved as most of the presented knowledge is programmed, and all of the programming is done in Mathematica.

Topics to be covered (time-permitting):

  • High frequency market data (bid, ask, mark- prices) for stocks, indices, futures, options, options on futures: acquisition, storage, and manipulation
  • Stochastic calculus: Brownian motion, stochastic integral, chain rule, product rule, stochastic differential equations (SDEs)
  • Modeling underlying prices using SDEs; statistical estimation of parameters
  • Relationship between SDEs and partial differential equations (PDEs)
  • Black-Scholes-Merton pricing of financial contracts: bonds, futures, options, options on futures.
  • Portfolio optimization. Merton’s portfolio formula and its generalizations
  • Pricing of portfolios of financial contracts in incomplete markets with risk premium determination. Explicit solution via various techniques of solving PDEs, ordinary differential equations (ODEs) via symbolic programming
  • The effect of the market risk aversion (sentiment) on market prices and on the yield curve
  • Quantitative understanding of the bid/ask price spread
Video link: https://www.youtube.com/embed/4ZJWjXdaHS0?rel=0

The class is held live online (as well as recorded) every Monday, Wednesday, and Friday

Class starts on August 24 to December 6, 2020

Instructor: Dr. Srdjan Stojanovic

Note: Students will need Mathematica installed on their computers to be able to fully learn. The student version of the software can be purchased here

How to apply:

If you are a student at the University of Cincinnati, register here.  Look for MATH 6011 or MATH 5111. The course name is Computational Financial Mathematics.

If you’re not a UC student, you can take this course by applying as a non-matriculated student.  Apply here

For questions, please contact stojans@ucmail.uc.edu