ESE 4270
Financial Mathematics
This course is a self-contained introduction to financial mathematics at the undergraduate level. Topics to be covered include pricing of the financial instruments such as options, forwards, futures and their derivatives along with basic hedging techniques and portfolio optimization strategies. The emphasis is put on using of discrete, mostly binary models. The general, continuous case including the concepts of Brownian motion, stochastic integral, and stochastic differential equations, is explained from intuitive and practical point of view. Among major results discussed are the Arbitrage Theorem and Black-Scholes differential equations and their solutions.
Instructors
Reviews
Kurenok is not a great lecturer, he often covers dense and complex material in an even more complicated way. Despite that shortcoming, he is a fantastic professor. He is knowledgeable and accessible and truly wants his students to learn. His exams are graded generously, and he is a kind person. If you are lucky, he may even drop personal lore.
12/20/2024
He really wants students to exceed in his class, and makes a strong commitment to help you if you have difficulty understanding content. His accent can him a little tough to understand at times, but he provides clear written notes to supplement lecture. He is accessible and very helpful during his office hours, but his lectures can get confusing.
11/4/2018