In this course, some topics on mathematical finance will be described with practical examples. The main aims of this course are to introduce some practical aspects of the mathematical finance and to present the mathematical formulations of practically important financial problems.
For example, the following topics would be introduced with some assignments of computer programmings
1. Arbitrage free pricing theory
2. Binomial model
3. Black—Scholes model
4. Monte Carlo simulation / Discretization of stochastic differential equations
5. Overview of Malliavin calculus and its applications
・Understand how the probability theory and the mathematical finance are used in the financial institution
・Be able to survey the recent hot topics of mathematical finance
・Get conscious about linkages of pure mathematics to the real world
✔ Applicable | How instructors' work experience benefits the course |
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The lecturer has been working in a financial institute as a quants. Base on my professional experience as a derivative quant in the financial industry, I'll give some examples that theory of Mathematical finance is effective in practice. |
Mathematical finance, Derivative quant, Arbitrage free pricing theory, Stochastic Differential Equation, Monte Carlo simulation, Malliavin calculus
✔ Specialist skills | Intercultural skills | Communication skills | Critical thinking skills | ✔ Practical and/or problem-solving skills |
This is a standard lecture course with the presentation slides and black boards. There will be some assignments.
Course schedule | Required learning | |
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Class 1 | Arbitrage free pricing theory | Details will be provided during each class |
Class 2 | Foundation of stochastic differential equations and mathematical finance | Details will be provided during each class |
Class 3 | Foundation of computational finance | Details will be provided during each class |
Class 4 | Practical computational finance | Details will be provided during each class |
Class 5 | Examples of application of modern math | Details will be provided during each class |
Details will be provided during each class session
Details will be provided during each class session
Assignments (100%).
None in particular