Looking for Intro to Math Finance (21-270) equivalent

Colleges & Universities Carnegie Mellon University
1

<p>Does anyone know a school (preferably in the US) where they offer an equivalent intro to math finance class (21-270) during the summer? Grad schools–provided they allow students from other universities–are acceptable. A description of what I’m looking for follows:</p>

<p>The theme of this course is pricing derivative securities by replication. The simplest case of this idea, static hedging, is used to discuss net present value of a non-random cash flow, internal rate of return, and put-call option parity. Pricing by replication is then considered in a one-period random model. Risk-neutral probability measures, the Fundamental Theorems of Asset Pricing, and an introduction to expected utility maximization and mean-variance analysis are presented in this model. Finally, replication is studied in a multi-period binomial model. Within this model, the replicating strategies for European and American options are determined.</p>

<p>Thanks!</p>

2

<p>Why would you want to take that class somewhere outside of CMU? </p>

<p>That course is structured around lecture notes developed by CMU professors specifically because they felt no other undergraduate courses elsewhere provided an adequate foundation, and there is no other curriculum like it for undergraduate study. You’re better off shooting an email to professor handron or professor hrusa about the curriculum, but I do not believe they will recommend any alternatives to 21-270.</p>

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<p>I’m trying to double major and double minor, so fitting all my courses into four years is a challenge…the answer may be that my schedule needs to be rearranged in some way.</p>

4

<p>You can try Columbia… I think some of their OR Financial Engineering classes may be similar. That being said, if your double major/minor involves comp fi, they won’t accept it.</p>