This course, following Advanced Topics in Mathematical Finance A, will explain global investment strategies making use of mathematical finance.
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.
|✔ 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 and distributed materials.
|Course schedule||Required learning|
|Class 1||Optimal portfolio strategies: continuous-time models (1)||Details will be provided in each class session.|
|Class 2||Optimal portfolio strategies: continuous-time models (2)|
|Class 3||Stochastic differential equations and stochastic flows (1)|
|Class 4||Stochastic differential equations and stochastic flows (2)|
|Class 5||Malliavin Calculus (1)|
|Class 6||Malliavin Calculus (2)|
|Class 7||Optimal portfolio strategies: continuous-time models (3)|
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.
Hiroyuki Matsumoto, Setuo Taniguchi, Stochastic Analysis:Ito and Malliavin Calculus in Tandem (Cambridge Studies in Advanced Mathematics Book 159) , Cambridge University Press
Based on reports. Details will be provided in class.
None in particular