Finance

(1) A note on the CAPM: The market as a whole cannot have negative weights, but submarkets might, 
ewp-get/9908001- or the local html file

(2) Risk


 

(3) A description for a course "Introduction to Finance (using Mathematica)"

These files (FinanceCourse.zip) describe a first year & first semester course in elementary finance, using Mathematica. 
  • CourseGuideBook.doc is the manual for the students
  • TeachersGuide.doc is the manual for the teacher (that links to “Book1.xls”)
  • Sheet xxx.doc might be used to convince the school Dean of the value of the course
The books and software used for the course are:
  • Z. Bodie & R. Merton (2000), “Finance”, Prentice Hall
  • P. Zima & R. Brown (1996), “Schaum’s Outlines, Mathematics of finance”, McGraw-Hill
  • S. Wolfram (1996), “The Mathematica Book”, 3rd ed, WRI & Cambridge UP
  • Th. Cool (2001), “The Economics Pack”, Thomas Cool Econometrics & Consultancy
  • P. Dekker (1999), “Mathematics Semester 1”, HES/ISER Syllabus
Bodie & Merton give the theory, Zima & Brown give summaries and exercises. The Mathematica Book and the Economics Pack can be used online, with a help menu to find and use the commands. Dekker can be used to refresh your mathematics.

Students will have to renew their knowledge and skills of mathematics, and learn Mathematica, but all of this withiin the motivating context of, and targetted to, elementary finance.

NB. The software (freely downloadable from my website) of “The Economics Pack. Applications to Mathematica” (thus, not the printed User Guide) now contains (in the Help Browser) three example exams for this course, with their questions, answers and grading. These examples show perhaps more directly how the tedium of calculation can be taken over by Mathematica, both for students and teachers alike.

The course description originated in 2001. I had been teaching an earlier course for some years and the results were disappointing for all parties involved. The idea of this new course description is to combine the  theoretical and practical insights of didactics with the possibilities of Mathematica. Note, though, that I switched to another job in 2002, so that this is only a course description that has not yet been put to practice.
 

Thomas Cool, April 2005
 

PM. For higher level courses in financial mathematics, see for example CANdiensten.