## Mathematical Methods for Quantitative Finance

 所在平台: CourseraArchive 课程类别: 经济与金融 授课老师： Kjell Konis

#### 课程详情

The Mathematical Methods for Quantitative Finance course reviews the mathematical methods fundamental for the study of quantitative and computational finance. The areas of focus include calculus and multivariable calculus, constrained and unconstrained optimization, and linear algebra.

Topics covered include the following:

• Functions and inverse functions
• Limits, derivatives, partial derivatives, and chain rule
• Integrals and multiple integrals, changing the order of differentiation and integration
• Taylor series approximations
• Newton’s method
• Lagrange multiplier method
• Vector and matrix arithmetic, determinants, eigenvalue-eigenvector decomposition, singular value decomposition
• Numerical methods for optimization
Course goal:
Upon completion of the course students will know the fundamental mathematical concepts needed to effectively study quantitative finance areas such as fixed income, options and derivatives, portfolio optimization, and quantitative risk management.

Course Objectives
:

Upon completion of the course students will:

1. Understand the concept of a limit, differentiation, and integration;
2. Be able to compute partial derivatives and multiple integrals;
3. Understand the utility of matrix decompositions;
4. Be able to use Lagrange multipliers to solve constrained optimization problems; and
5. Apply the above methods to problems arising in finance.

#### 课程评论(2条)

 0 钛合金蛙眼 2013-11-15 14:55 0 票支持; 0 票反对 内容包括微积分，线性代数，最优化再捎带一些金融知识，都是数据挖掘和机器学习数学基础（除了概率统计)，老师也讲的很清楚，只可惜没有证书，UW开的几门课程都不错
 3 算文解字 2013-09-25 16:41 3 票支持; 0 票反对 搞statistical NLP自然要吃透了概率、统计和随机过程，但适当的微积分、线性代数和数值计算基础也很重要。没时间系统恶补？No problem! Coursera上推出了一门 Mathematical Methods for Quantitative Finance ，虽然原本针对金融，但8周的课程提供的浓缩版数学对NLPer也很实用。 今天第一天开课，所以还没评价可以借鉴，但看涵盖的知识点都很实用：从极限讲起的一元微积分、偏导、多重积分、泰勒级数、拉格朗日乘数、特征向量、矩阵分解、优化用到的数值计算如牛顿法，都是paper里的常客.