Investment Science

4 hours; 4 creditsNet present value, internal rate of return; yield, duration,immunization, and convexity of fixed-income securities; meanvariance 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 Finance 3370 and [Business 3370] andEconomics 3370.)Prerequisite: Economics 3400 [30.2] or Business 3400 [30.2] orMathematics *2501 [8.1] or Mathematics 3501 [51.1];Mathematics *2201 [5.3].Prerequisite or corequisite: Economics 2100 [10.1] or 2200 [20.1]or Business 2100 [10.1] or 2200 [20.1].

Fall, Spring

014740