MS&E145

Introduction to modern quantitative finance and investments. The course focuses on the basic principles underlying financial decision making which are applicable to all forms of investment: stocks, bonds, real estate, corporate finance, etc., and how they are applied in practice. Topics: interest rates; evaluating investments: present value and internal rate of return; fixed-income markets: bonds, yield, duration, portfolio immunization; term structure of interest rates; measuring risk: volatility, value at risk, expected shortfall; designing optimal security portfolios; the capital asset pricing model. Group projects involving financial market data. No prior knowledge of finance required. Hard prerequisites: MS&E 120 or 220, or CS 109, or STATS 116. MS&E 111 is strongly suggested. Working knowledge of Excel, or Python, or R, or Matlab, or Mathematica is also required.