OPIM 653 - Mathematical Modeling and its Application in Finance

Institution:

University of Pennsylvania

Subject:

Description:

Staff. Quantitative methods have become fundamental tools in the analysis and planning of financial operations. There are many reasons for this development: the emergence of a whole range of new complex financial instruments, innovations in securitization, the volatility of fixed-income markets since interest rate deregulation, the increased globalization of the financial markets, the proliferation of information technolgy, and so on. In this course, models for hedging, asset allocation, and multi-period portfolio planning are developed, implemented, and tested. In addition, pricing models for options, bonds, mortgage-backed securities, and swaps are discussed. The models typically require the tools of statistics, optimization, and/or simulation, and they are implemented in spreadsheets or a high-level modeling environment, MATLAB. This course is quantitative and will require extensive computer use. The course is intended for students who have a strong interest in finance. Prospective students of this course should be comfortable with quantitative methods, such as basic statistics and the methodologies (mathematical programming and simulation) taught in OPIM 621 Management Science.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.upenn.edu

Phone Number:

(215) 898-5000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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