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0372-4010 | Mathematics in Finance:Selected Topics and Applications | ||||||||||||||||||||||||||||
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FACULTY OF EXACT SCIENCES | |||||||||||||||||||||||||||||
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The purpose of the class is to expose students to the mathematical concepts and techniques used in the financial industry. Mathematics lectures are mixed with lectures illustrating the corresponding application in the real world. The topics are diverse. Single security analysis such as the pricing and hedging of derivative securities (e.g. options) involves the Ito Calculus and Stochastic Differential Equations. Portfolio level concerns include Mean Variance Optimization, Value-at-Risk models and factor models (e.g. CAPM and APT). The study of volatility will bring in time series analysis. The course will consider a variety of asset classes including equity, debt and commodities. The course will be in English.