This is the first in a series of three short courses on financial mathematics that take participants from pre-calculus to stochastic calculus. Like all three courses of the series, Math 1 combines self-study with three days of lectures.

Self study focuses on pre-calculus—fraction operations, polynomials, powers and exponents. These arise all the time in interest calculations, option pricing formulas, forward price relationships, default intensities and more. Most professionals are familiar with these concepts, so the purpose of self study is to gain mastery of the material in preparation for the more intensive lectures.

Lectures focus on differential and integral calculus in one dimension. Students come away with a clear understanding of what a calculus derivative is and actually use derivatives to derive the Macaulay formula for duration. They learn about integration and the fundamental theorem of calculus. These lay the foundation for learning probability theory in Math 2. The lectures are highly interactive, with plenty of exercises and group discussions. Breaks during each day provide many opportunities for one-on-one instruction.

Math 1 also covers plenty of applications, including

pricing of fixed income instruments

the three models for how markets determine forward prices

techniques of optimization.

There are essentially no prerequisites. Math 1 caters to individuals with even the most limited math backgrounds. However, it is an in-depth course. Students should come prepared to work hard—especially in the lecture portion of the course.

This is an extremely popular course. Most attendees go on to take Math 2, and many progress to Math 3.