This course and the subsequent Advanced Topics in Mathematical Finance B will explain global investment strategies making use of mathematical finance. Discussions will especially focus on the differences in investment strategies depending on the various characteristics of funds for investment, investment objectives, and the investor's tolerance of risk.
By the end of this course and the subsequent "Advanced Topics in Mathematical Finance B", 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.
|✔ Applicable||How instructors' work experience benefits the course|
|The lecturer has been working in a financial institute as a research director.|
International investment strategies, optimal portfolio strategies, Asset-Liability Managements, maximization of expected utilities, stochastic differential equations, stochastic flows, Malliavin Calculus.
|✔ Specialist skills||Intercultural skills||Communication skills||Critical thinking skills||Practical and/or problem-solving skills|
This course consists of learning using blackboards, projectors, and distributed materials.
|Course schedule||Required learning|
|Class 1||Risks, returns, and asset allocation strategies||Details will be provided during each class session.|
|Class 2||Foreign exchange rates|
|Class 3||Fixed income investments (1)|
|Class 4||Fixed income investments (2)|
|Class 5||Asset Pricing Theory (1)|
|Class 6||Asset Pricing Theory (2)|
|Class 7||Applications of Asset Pricing Theory|
To enhance effective learning, students are encouraged to spend approximately 100 minutes preparing for class and another 100 minutes reviewing class content afterwards (including assignments) for each class.
They should do so by referring to textbooks and other course material.
None in particular
Shigeo Kusuoka, Stochastic Analysis, (Monographs in Mathematical Economics, 3), Springer
Based on reports. Details will be provided in class.
None in particular