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- Liberal arts and basic science courses
- Academic unit or major
- Graduate major in Mathematics
- Instructor(s)
- -
- Class Format
- Lecture
- Media-enhanced courses
- Day/Period(Room No.)
- Wed9-10(H137)
- Group
- -
- Course number
- MTH.D402
- Credits
- 1
- Academic year
- 2017
- Offered quarter
- 2Q
- Syllabus updated
- 2017/3/17
- Lecture notes updated
- 2017/8/24
- Language used
- Japanese
- Access Index
-
Course description and aims
This course, following Advanced Topics in Mathematical Finance A, will explain global investment strategies making use of mathematical finance.
Student learning outcomes
By the end of this course, students will know how to build a stochastic process model of asset returns using probabilistic analysis and solve the problem of maximizing expected utility using the discrete time model and the continuous time model.
Keywords
International investment strategies, optimal portfolio strategies, Asset-Liability Managements, maximization of expected utilities, stochastic differential equations, stochastic flows, Malliavin Calculus.
Competencies that will be developed
| ✔ Specialist skills | Intercultural skills | Communication skills | Critical thinking skills | Practical and/or problem-solving skills |
Class flow
This course consists of learning using blackboards and distributed materials.
Course schedule/Required learning
| Course schedule | Required learning | |
|---|---|---|
| Class 1 | Stochastic process models for asset returns | Details will be provided in each class session. |
| Class 2 | Optimal portfolio strategies: discrete-time models | |
| Class 3 | Optimal portfolio strategies: continuous-time models (1) | |
| Class 4 | Stochastic differential equations and stochastic flows (1) | |
| Class 5 | Stochastic differential equations and stochastic flows (2) | |
| Class 6 | Malliavin Calculus (1) | |
| Class 7 | Malliavin Calculus (2) | |
| Class 8 | Optimal portfolio strategies: continuous-time models (2) |
Textbook(s)
None in particular
Reference books, course materials, etc.
None in particular
Assessment criteria and methods
Based on reports. Details will be provided in class.
Related courses
- MTH.C361 ： Probability Theory
- MTH.C507 ： Advanced topics in Analysis G1
- MTH.C508 ： Advanced topics in Analysis H1
- MTH.D401 ： Advanced Topics in Mathematical Finance A
- MTH.D403 ： Advanced Topics in Mathematical Finance C
- MTH.D404 ： Advanced Topics in Mathematical Finance D
- MTH.E440 ： Special lectures on advanced topics in Mathematics Q
Prerequisites (i.e., required knowledge, skills, courses, etc.)
None in particular
