This course offers a rigorous treatment of the subject of investment as a scientific discipline. Mathematics is employed as the main tool to convey the principles of investment science and their use to make investment calculations for good decision making. Topics covered in the course include the basic theory of interest and its applications to fixed-income securities, cash flow analysis and capital budgeting, mean-variance portfolio theory and the associated capital asset pricing model, utility function theory and risk analysis, derivative securities and basic option theory, and portfolio evaluation.
Multivariate calculus and an introductory course in probability and statistics (such as 625.603 Statistical Methods and Data Analysis). Some familiarity with optimization is desirable but not necessary.