Mathematical Foundations for Financial Engineering Domingo ...

lecture plan:For simplicity, topics and readings are presented as full lectures. Some topics may run over tothe next lecture. Consequently, we may fall behind the listed schedule a bit at some points andthen catch up soon thereafter.January 20 topic: Sets, number systems, functions, and metric spaces. Lecture 1Rudin, ch. 1-2January 27 Due: Assignment 1topic: Sequences and series, continuity, limits, differentiation Lecture 2Taylor seriesRudin, ch 3-5Pratt (1964)Fabruary 4(!) Due: Assignment 2topic: linear spaces and matrix algebra, eigenvaluesLecture 3Litterman and Scheinkman (1991)February 10 Due: Assignment 3topic: Eigenvalues, spectral theory, stochastic matrices Lecture 4Ross (2014)February 17 Due: Assignment 4topic: Integration, multidimensional calculus Lecture 5Rudin, ch 6, 9February 24 Due: Assignment 5topic: Multidimensional calculus continued, optimization Lecture 6Rudin, ch 9Markowitz (1952)Nash (1952)Samuelson (1967)March 3 Due: Assignment 6topic: ODEs and PDEs Lecture 7SimmonsSpiegel and Subrahmanuyam (1995)March 10(?) Due: Assignment 7topic: Probability theory and stochastic calculus Lecture 8Cox, Ross, Rubinstein (1979)March 17, 2015 Due: Assignment 8Syllabus for Mathematical Foundations – Spring 2015page 4