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Oct 30, 2025
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AMS 523 - Mathematics of High Frequency Finance
Elements of real and complex linear spaces. Fourier series and transforms, the Laplance transform and z-transform. Elements of complex analysis including Cauchy theory, residue calculus, conformal mapping and Mobius transformations. Introduction to convex sets and analysis in finite dimensions, the Legendre transform and duality. Examples are given in terms of applications to high frequency finance.
3 credits
Grading Letter graded (A, A-, B+, etc.)
Offered Offered Fall
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