COOL CLASSES: “Applied Mathematics: Intro to Quantitative Finance”

This mathematics class is a probability-based survey of several finance topics, including exploring the mathematical foundation of derivatives.

Course Title: “Applied Mathematics: Intro to Quantitative Finance”

Taught By: Visiting Assistant Professor of Mathematics and Statistics Timur Akhunov

Says Akhunov:

The course is on the mathematical foundation of risky financial instruments called derivatives. The process starts with a contract that has a fluctuating price—think a depreciating car or barrel of oil or an Apple Inc. stock. A derivative is then a contract, whose value depends or is derived from the original contract. It could be an option to buy off a three-year-old Tesla 3 at the end of the lease, a price of oil agreed in advance, or a call option to sell Apple stock at $160 on May 1. Such derivative contracts can be a way to hedge financial risks like committing to a pre-determined fuel price for an airline or a way to increase the risk, like a 2008 housing crisis leading to a worldwide financial crisis. This course is not about predicting individual stock prices or systematically constructing complex portfolios, rather it is a mathematical modeling course that gives a starting point for pricing modern financial derivatives. 

I hope students combine financial reasoning with mathematical modeling and applied probability. I am also excited to run the course in a seminar style. Students take turns presenting their reading in pairs. Starting with a first class it was impressive to see students eagerly working in groups.

My research area is in analysis of waves and formation of singularities in mathematical physics. This field is closely related to calculus, which I regularly teach. However, I enjoy seeing parallels and analogies between my research work, finance, and computer science. Beyond intellectual curiosity, it is great to work with upper-class Haverford students. Finally, this course is of practical use for students; finance is a common career path for graduates. 

Learn more about other courses offered by the Department of Mathematics and Statistics.

Cool Classes

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