Investment Science

4 hours; 4 creditsNet present value, internal rate of return; yield, duration, immunization, and convexity of fixed-income securities; mean-variance portfolio theory, Markowitz model, CAPM, factor models, arbitrage pricing theory; models of asset dynamics, Ito's lemma, options theory, Black-Scholes equation, interest-rate derivatives. (This course is the same as Economics 3370 [70.7] and Mathematics 3601 [74.2]. Not open to students who have completed Business 3370 [70.7].)Prerequisite: Economics 3400 [30.2] or Business 3400 [30.2] or Mathematics *2501 [8.1] or Mathematics 3501 [51.1]; Economics 3410 [31.1] with a grade of B- or better; Economics 3310 [70.2] or Business 3310 [70.2] or Finance 3310.

Fall, Spring

013480