Quantitative Finance

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Abstract

Arbitrage pricing theory underpins the historical growth and contemporary importance of financial derivative markets. The theory is developed systematically for equity, FX, commodity, fixed income, and credit markets. Discrete and continuous time dynamic models of asset prices are studied, developing the analytical insight of standard industry models, numerical schemes, and computational practice. These tools are used routinely by practitioners to value portfolios, hedge risk, determine regulatory capital requirements, and maintain and demonstrate regulatory compliance. The Quantitative Finance Graduate Certificate program at NJIT explores these concepts to prepares quantitative analysts to use these tools for investment management and for mandated regulatory compliance.