Syllabus for MathFinan 1000 September 12, 2010 1

Syllabus for MathFinan 1000

Preparatory Mathematics For Financial Engineering
Fall 2010

Instructor: Rakesh Nigam

∙ Office: IFMR finance office

∙ Office Hours:
Before Class 1:30-2:00
After Class 5:00-5:30

∙ EMAIL: rakesh nig@yahoo.com

Class Meets: Narmada Hall, Sat 2:00–5:00

Mid-term Exam: Sunday, November 15, 9:30–12:30

Final Exam: Sunday, December 15, 9:30–12:30

Prerequisites:
∙ Basic Undergraduate Mathematics that is covered in science and engineering courses

Textbooks:
∙ Introduction To Linear Algebra, Fourth Edition Gilbert Strang

∙ Elementary Differental Equations, Ninth Edition William E. Boyce & Richard C. DiPrima

∙ Partial Differental Equations An Introduction, Second Edition Walter A. Strauss

On Reserve in the IFMR library:

∙ Calculus, I, II, III, Second Edition Jerrold E. Marsden & Alan Weinstein

Description
This course introduces the necessary mathematics required to understand advanced mathematical
finance courses offered at IFMR. The topics covered will be dealt with mathematical rigor and will
be illustrated with several examples from finance and other disciplines. We will cover topics from
linear algebra, calculus, discrete mathematics, complex variables, ordinary and partial differential
equations. The course is demanding and progresses at a rapid pace. There will be weekly written
assignments in addition to in-class mid-term and final exams. Students will be given the option to
do projects in finance, which have to be discussed in advance with the instructor.
2 Syllabus for MathFinan 1000 September 12, 2010

Ethics
The atmosphere in this course should promote the free exchange of information and aid. Students
are encouraged to seek help from the instructor, and fellow students regarding concepts, examples,
and problems that are not to be submitted for a grade. The suggested problems in each home-
work assignment are an excellent opportunity for collaborative work; the required problems are not.
The Honor Code applies to all graded work, in particular to the required homework
problems, exams and projects. All work submitted for a grade must be the student’s own work.

Announcement
If any student needs special accommodations because of a disability, please contact the instructor
during the first week of classes.

Distribution and Access

The administration of this course emphasizes electronic distribution of materials and electronic
interaction among all participants. As a consequence, every student must have email and WWW
access.

Homework Assignments
There are about ten homework assignments. Students will be required to work out the problems
and present a subset of these in class to get a grade.

Readings
For all lectures or sequence of lectures, there is a reading assignment to be completed by class time.
These assignments are given as part of the Lecture Schedule.

Grading Policy
Grading for the course is on a 100-point scale, with the points distributed as follows:
Homework assignments (10 worth 2 points each) 20
Mid-term Exam 40
Final Exam/Project in Finance 40

If you have questions about the grading, please feel free to ask the instructor.
All exams are closed-book, open-notes.

Support Tools
Some particular programs will be used to support the coursework. These are:
∙ Matlab, a tool for mathematical computation. A few Matlab programs may be part of the
homework assignments.
Syllabus for MathFinan 1000 September 12, 2010 3

Lecture Schedule
The lecture schedule defines in greater detail what material is covered in the course and when it is
covered.

LECTURES READING TOPICS

Lecture 1 Strang 1; Introduction to the course, representation, and

15/10 Explore WWW computation. Review of matrices, sets, relations,
pages; PDF functions, graphs, equivalence relations, discrete
slides mathematics.
Lecture 2 Strang 2–4 Review of Linear Algebra, Gaussian Elimination, Linear
22/10 Independance, Basis, Geometric interpretation.

Lecture 3 Strang 6.1–6.2; The Four Subspaces, Eigenvalues, Eigenvectors, Singular

29/10 6.7–7 Value Decomposition SVD, Applications of SVD, Linear
Transformation.
Lecture 4 Strang 6.3–6.6 Applications to Differential Equations, Jordan form,
5/11 Positive Definite matrices.

Lecture 5 Marsden I–III; Review of single and multi-variable Calculus, Vector

12/11 PDF slides; Calculus, Curl, Div, Gradient, Green’s and Stokes
class notes theorems.
Lecture 6 Class notes Complex Variable, Analytic functions, Cauchy-Riemann
19/11 equations, Contour integration.

Lecture 7 PPT Slides Numerical methods, Jacobi and Gauss Siedel Methods,
26/11 Computation of Eigenvalues, Method of Steepest
Descent.
Lecture 8 BoyceDiPrima First and Second order Ordinary Differential equations
3/12 1–5; class notes and their solutions, Series solutions, Bessel’s equation.

Lecture 9 Strauss 1–2; Partial Differential equations, Methods of solution:

10/12 4–5; 7.3; class Separation of variables, Fourier Series, Fourier and
notes Laplace transforms.

Lectures 10 Explore WWW pages Applications to Finance, Advanced topics, Conclusion.

17/12