Mathematics of Finance
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Abstract
Description: This is a doctoral-level course, intended to prepare students for research in Quantitative Finance. The course will provide an introduction to continuous time Finance. The topics covered include portfolio management, derivative pricing, risk measures and equilibrium asset pricing, both in complete and incomplete markets. If time permits, we will also cover term structure models and credit risk. In the first two weeks of the course we will cover elements from stochastic calculus that will be used throughout the class. Prerequisites: There are no formal course prerequisites, but this course is the continuation of FIN 395.3, "Asset Pricing Theory". While FIN 395.3 dealt with discrete time models, RM 391 deals with models in continuous time. Some basic knowledge of real analysis, partial differential equations and stochastic processes will be very helpful. Depending on the technical background of the students, extra classes will be given to cover some technical material on stochastic calculus.