Introduction to Mathematical Finance
By L. Castañeda, V. Arunachalam, S. Dharmaraja. 2012
131 citations recorded by the source corpus.
Outline: This is the first part of a two-semester sequence course on mathematical finance. In the Fall semester, we will examine the fundamental principles of financial derivatives from both financial and mathematical perspectives, and demonstrate how the mathematical tools from stochastic calculus, differential equations and numerical methods join forces to form an essential part in modern finance. The emphasis of the course is a mathematical understanding of the intrinsic relationships among various financial instruments, which serves as a basis for investment decisions and trading strategies. The central theme of the Fall semester is the classic Black-Scholes-Merton model, and we plan to give a thorough treatment of the original model, with extensive discussions on the practical extensions in response to various disadvantages of the original model. One of the most intuitive and transparent approaches to illustrate that is also extensively used in practice is the binomial tree model. It contains most of the essential idea of the Black-Scholes-Merton methodology, and it can be naturally extended to build more general continuous-time models. Time permitting, we will include as much real life examples as possible to make this a rewarding experience for those who plan to pursue a career in this direction, as well as those who are just intrigued by the subject and its impact on our society.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/dc0561a17840ded51fefa08b5d03cb0cc57eef4c
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Citations in the corpus
- Stackelberg–Nash exact controllability for linear and semilinear parabolic equations (2015, background): “For further information on the modeling and control of phenomena of this kind, see for instance [2, 20, 22].”
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “An early scientific contribution to portfolio selection was made by the work of Markowitz (1952), where an elegant mathematical model for portfolio selection was introduced.”