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.