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.