Mathematical Methods for Qualitative Finance course ending information

On Monday July 28th, Mathematical Methods for Quantitative Finance will be closing for this session.

All quizzes and homework assignments need to be completed and finalized by Monday July 28th at 11:59pm PST. Currently enrolled students can continue to access the course via a “Course Archive” button on the Coursera landing page for the course.

We look forward to continuing to provide you additional courses from the University of Washington and Dr. Konis in the future.

Thank you for participating in this course.

The University of Washington

Thu 23 Jul 2015 9:05 AM CEST

Week 8 - Numerical Methods

Welcome to week 8 of Mathematical Methods for Quantitative Finance.

The final week's lectures cover solving problems numerically. Motivated by the implied volatility problem, we begin by learning how to find a root of a nonlinear function using both the bisection method and Newton's method. We then show that Newton's method can be used to find a root of an n dimensional problem. Finally, we combine the n dimensional Newton's method with Lagrange method to solve the maximum expected returns portfolio optimization problem.

Try these practice problems after watching this week's videos (Practice Problems 8).

See you in class,

Kjell Konis

Mon 20 Jul 2015 9:05 AM CEST

Week 7 - Lagrange's Method and Taylor Series

Welcome to week 7 of Mathematical Methods for Quantitative Finance.

This week's lectures are split between two topics: Lagrange's method and Taylor series. Lagrange's method is an algorithm for solving constrained optimization problems and will be demonstrated by solving minimum variance and maximum expected returns portfolio optimizations. Taylor polynomials and Taylor series provide a way to approximate functions locally and can be used to evaluate functions numerically. For example, how to compute sin(1) as a decimal.

Try these practice problems after watching this week's videos (Practice Problems 7). Please refrain from discussing the practice problems in the forum until week 8 (at which time discussion is encouraged).

See you in class,

Kjell Konis

Mon 13 Jul 2015 9:05 AM CEST

Week 6 - Linear Algebra II

Welcome to week 6 of Mathematical Methods for Quantitative Finance.

Last week we saw that the matrix factorization A = LU allowed us to solve the linear system Ax = b. This week we introduce several special types of matrices: orthogonal, diagonal, and upper-triangular, and use them to build factorizations that allow us to solve some common problems arising in mathematical finance. In particular, we will demonstrate how to use a QR factorization to solve least squares problems. Eigenvalues and eigenvectors will also be discussed.

Try these practice problems after watching this week's videos. (Practice Problems 6.pdf) Please refrain from discussing the practice problems in the forum until week 7 (at which time discussion is encouraged).

See you in class,

Kjell Konis

Sun 5 Jul 2015 9:05 AM CEST

Week 5 - Linear Algebra I

Welcome to week 5 of Mathematical Methods for Quantitative Finance.

This is the first of two weeks covering concepts from linear algebra. We will get started by reviewing operations on vectors and matrices and then move on to the problem of solving systems of linear equations. The goal this week is to see that the matrix factorization A = LU allows us to solve the system of linear equations Ax = b (this is the matrix/vector notation for a system of linear equations).

Try these practice problems after watching this week's videos. (Practice Problems 5.pdf) Please refrain from discussing the practice problems in the forum until week 6 (at which time discussion is encouraged).

See you in class,

Kjell Konis

Sun 28 Jun 2015 9:05 AM CEST

Week 4 - Multiple Integrals

Welcome to week 4 of Mathematical Methods for Quantitative Finance.

The calculus review portion of the course concludes with multiple integrals. We will start with the basics: double integrals, iterated integrals, and Fubini's theorem. Then we move on to change of variables and polar coordinates and show how to compute the normalization constant for the normal distribution.

Here are the practice problems for weeks 3 and 4. Just a quick caveat: I am asking you to calculate the Greeks for a European PUT option. The Greeks for a European call option (and their derivations) are easy to find using Google, etc., and you can use the Put-Call parity formula to check that you got the correct answer. Make sure you understand the example before getting started.

Kjell Konis

Sun 21 Jun 2015 9:05 AM CEST

Week 3 - Partial Derivatives

Welcome to week 3 of Mathematical Methods for Quantitative Finance.

This week begins with functions of several variables, partial derivatives, and higher order partial derivatives. We then work through the Greeks, the partial derivatives of the Black-Scholes formula.

Here are the practice problems for weeks 3 and 4. Just a quick caveat: I am asking you to calculate the Greeks for a European PUT option. The Greeks for a European call option (and their derivations) are easy to find using Google, etc., and you can use the Put-Call parity formula to check that you got the correct answer. Make sure you understand the example before getting started.

Kjell Konis

Sun 14 Jun 2015 9:05 AM CEST

Thank you for enrolling in Mathematical Methods for Qualitative Finance.

Given your interest in this area of study, you may be interested in the other opportunities offered online by the Computational Finance and Risk Management Programs.  Certificates in Computational Finance (http://www.pce.uw.edu/certificates/computational-finance.html) is offered annually and can be completed within a calendar year online.  Our highly regarded Master’s in Computational Finance and Risk Management is available both online and part-time (http://depts.washington.edu/compfin/content/ms-degree/intro). 

Some courses in the certificate programs are available for individual enrollment, and that information can in the course descriptions on our website (http://www.pce.uw.edu/business.html).  Feel free to contact a UW enrollment adviser by email at info@pce.uw.edu or by phone at 888-469-6499, if you have additional questions.

Once again, thank you for joining us in this course!

Tue 9 Jun 2015 9:05 AM CEST

Week 2 - Integration

Welcome to week 2 of the course. This week begins with a brief review of integration including the definition and the Fundamental Theorem of Calculus. We then cover several techniques of integration including 'completing the square', which is useful for computing the expected value and variance of a lognormal distribution.

Finally, in preparation for taking the partial derivatives of the Black-Scholes formula, we cover differentiating improper integrals.

Try these practice problems after watching the week 2 videos. (Practice Problems 2.pdf) Please refrain from discussing the week 2 practice problems in the forum until week 2+1 (at which time discussion is encouraged).

See you in class,

Kjell Konis

Sun 7 Jun 2015 9:05 AM CEST

Week 1 - Limits and Derivatives

Welcome to week 1 of Mathematical Methods for Quantitative Finance.

We will get started by using discounting and the annuity and perpetuity pricing formulas to motivate the mathematical concept of a limit. From there, we will review the definition of the derivative (which is itself a limit), the chain rule, and the product rule. The week concludes with a lesson on l'Hopital's rule. Limits play an important role in mathematical finance, they are necessary for defining inverse functions and for finding intervals of convergence for Taylor series expansions (more on this in week 7).

Try these practice problems after watching the week 1 videos. (Practice Problems 1.pdf) The purpose of the practice problems is to give you an opportunity to test your understanding of this week's topics. Please refrain from discussing the week 1 practice problems in the forum until week 1+1 (at which time discussion is encouraged).

Welcome to the course,

Kjell Konis

Mon 1 Jun 2015 9:07 AM CEST

Hello, and welcome to Mathematical Methods for Quantitative Finance!

My name is Kjell Konis and I am an Acting Assistant Professor in the Applied Mathematics Department at the University of Washington. I am pleased to welcome you to Mathematical Methods for Quantitative Finance.

My goal for this course is to help to prepare you mathematically for masters-level courses in quantitative finance. I look forward to seeing what new knowledge will rise out of the collaboration opportunities provided by the huge and diverse Coursera community.

I suggest you begin by going to discussion forums and introducing yourself. You should then orient yourself to the course format by visiting the "Mathematical Methods for Quantitative Finance!" page, and viewing the introductory video (if you haven't done so already).

Again, welcome to the course!

Kjell Konis

Mon 1 Jun 2015 9:05 AM CEST