2021 Advanced Topics in Mathematical Finance D

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Academic unit or major
Graduate major in Mathematics
Morimoto Yuji 
Course component(s)
Lecture    (ZOOM)
Day/Period(Room No.)
Course number
Academic year
Offered quarter
Syllabus updated
Lecture notes updated
Language used
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Course description and aims

The instructor in this course will explain the mathematical principles and techniques of value assessment and risk assessment in the risk management of financial institutions, as well as the current state and issues in the risk management of financial institutions. The instructor will focus on expalining the issues related to risk management activities and history of risk management especially in the insurance industry, and discussing the ideal risk management practice.

Student learning outcomes

The goal of the course is for the students to understand the principles of the valuation, risk and risk management of the financial instruments and to gain insight into the risk management issues.

Course taught by instructors with work experience

Applicable How instructors' work experience benefits the course
Risk management practice in an insurance firm, Risk management advisory in investment banks and a consulting firm


Economic-based valuation (Market consistent valuation), risk, risk management

Competencies that will be developed

Specialist skills Intercultural skills Communication skills Critical thinking skills Practical and/or problem-solving skills

Class flow


Course schedule/Required learning

  Course schedule Required learning
Class 1 Overview of Risk Management Details will be provided in each class session.
Class 2 History and challenges related to risk management
Class 3 Relation of accounting value and economic value
Class 4 Insurance products and embedded interest rate risk
Class 5 Economic value based regulation in insurance industry (1)
Class 6 Economic value based regulation in insurance industry (2)
Class 7 Economic value based regulation in insurance industry (3)

Out-of-Class Study Time (Preparation and Review)

To enhance effective learning, students are encouraged to spend approximately 100 minutes preparing for class and another 50 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

Reference books, course materials, etc.

Morimoto, et. al ``Keizai kachi base no hoken ERM no honshitsu" (in Japanese)
Morimoto, ``Zero kara wakaru kinyuh risk kanri'' (in japanese)

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.E440 : Special lectures on advanced topics in Mathematics Q
  • MTH.D401 : Advanced Topics in Mathematical Finance A
  • MTH.D402 : Advanced Topics in Mathematical Finance B
  • MTH.D403 : Advanced Topics in Mathematical Finance C

Prerequisites (i.e., required knowledge, skills, courses, etc.)

None in particular

Contact information (e-mail and phone)    Notice : Please replace from "[at]" to "@"(half-width character).



It is desireble for students to take both Advanced Topics in Mathematical Finance C and D.

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