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2019 NCTS Course on Mathematical Finance
 
10:00 - 13:00 on Fridays, March 8 - 29, 2019
Lecture Room B, 4th Floor, The 3rd General Building, NTHU

Speaker:
Xinfu Chen (University of Pittsburgh)


Organizers:
Je-Chiang Tsai (National Tsing Hua University)


一、 課程背景與目的:
This short course is an introduction to modern mathematical finance.
 
二、 課程之大綱:
Topics include 
1. Single period portfolio optimization based on the mean-variance analysis, capital asset pricing model, factor models and arbitrage pricing theory. 
2. Pricing and hedging derivative securities based on a fundamental state model, the well-received Cox-Ross-Rubinstein’s binary lattice model, and the celebrated Black-Scholes continuum model. 
3. Discrete-time and continuous-time optimal portfolio growth theory, in particular the universal logoptimal pricing formula. 
4. Necessary mathematical tools for finance, such as theories of measure, probability, statistics, and stochastic process.
 





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 (C) 2019 National Center for Theoretical Sciences