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E-Seminars: E-Seminar Detail
Mathematics of Finance
Taught by: Mikhail Smirnov

Description
E-Seminar Description
Professor Mikhail Smirnov's e-seminar is based on two sections of coursework offered at Columbia University's master's program in mathematics of finance. In these two sections, you will learn basic theories of probability and finance. These include explorations of derivatives, futures, contracts, and options, and the notions of volatility, arbitrage, and hedging. We will describe and apply the Black-Scholes formula for pricing options and the theory of Brownian motion, as it applies to calculating price and risk. Each section includes several problem sets, which you are advised to complete.

A solid understanding of calculus is required for this course.

E-Seminar Length:3-5 hours
Start Date:Anytime
Credits:Not-for-Credit
Prerequisites:None
Moderator:None
Columbia Students, Faculty, Staff, and Alumni:FREE

Interested in this
e-seminar?
Go to the e-seminar now*.

Note: Columbia students, faculty, staff, and alumni will need to use their University Network ID (UNI) to access e-seminars.



Outline | Instructor's Background | Recommended Reading | Technical Requirements | Additional Information

Outline
1. Probability Distributions; Distribution of Stock Returns; Volatility; Black-Scholes Option Pricing Model.
2. Brownian Motion as a Model of Stock Movement; Black-Scholes Option Pricing Formula; Monte-Carlo Method; Delta Hedging.

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Instructor's Background
Instructor's Background
Mikhail Smirnov is Professor and Director of the master's program in mathematics of finance at Columbia University. He received his Ph.D. from Princeton University and subsequently worked at Merrill Lynch and at Alpha Investment Management, a large hedge fund.

Smirnov's research is in risk management of hedge funds, development of multi-market statistical trading strategies, and dynamic portfolio management.


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Recommended Reading
Chriss, Neil A. Black-Scholes and Beyond: Option Pricing Models. McGraw-Hill, 1997.

Haug, Espen Gaarder. The Complete Guide to Option Pricing Formulas. McGraw-Hill, 1997.

Hull, John C. Options Futures and Other Derivatives. Prentice Hall, 1999.

Taleb, Nassim N. Dynamic Hedging. John Wiley & Sons, 1996.

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Technical Requirements
You will need to use a computer with Internet access to complete this course. We recommend the following minimum configurations:

IBM-COMPATIBLE PC
Windows 95, 98, 2000, XP, or NT
64 MB of RAM (128 recommended)
Monitor: 800x600 resolution recommended
Connection: Internet service and 56K modem minimum
Browser: Internet Explorer 4 or above (Internet Explorer 5 strongly recommended) or Netscape 4.7 or above
Sound Card (if you can hear audio you have a sound card)
Plug-ins: RealPlayer 7 or later; Flash Player 5 or later; Acrobat Reader 5 or later
(all plug-ins are free)

MACINTOSH
MAC OS 8.6 or higher
64 MB of RAM (128 recommended)
Monitor: 800x600 resolution recommended
Connection: Internet service and 56K modem minimum
Browser: Internet Explorer 5 or above or Netscape 4.7 or above
Sound Card (if you can hear audio you have a sound card)
Plug-ins: RealPlayer 7 or later; Flash Player 5 or later; Acrobat Reader 5 or later
(all plug-ins are free)

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Additional Information
Who should take this course? Students of mathematics with an interest in finance. Finance professionals who wish to apply mathematics to their work. Teachers of mathematics. Lifelong learners with a background in calculus who wish to apply math methods to personal investing.

Reading assignments: There are no required reading assignments in this course, though Professor Smirnov has recommended a number of books for those who wish to pursue the course topics further.

Taking the seminar: The content of this seminar is delivered entirely on the Internet. You may access this content and participate in discussions at any time during which the course is open. There are no set times in which you must be online.

This course includes a discussion board for students to pose questions or thoughts related to the topics presented in the course.

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