Maths Refresher for Finance

Day One

Algebraic Functions

• Linear, quadratic, polynomial functions and splines
• Gradients, rates of change and differential calculus

Workshops:

• Applications of optimisation
• Yield curves, duration and convexity

Matrix Algebra

• Matrix rules and operations
• Simultaneous equations and solutions

Workshops:

• Covariance matrix, risk and return
• Matrices for hedging calculations

Day Two

Probability

• Sets, diagrams, notation and probability laws
• Normal, binomial and other probability distributions

Workshops:

• Probability of bond default
• Stochastic processes in markets

Forecasting and Regression

• Correlation, linear and multiple regression
• Real data and cautions in forecasting

Workshops:

• Forecasting models
• Time series of prices and volatility