3. 강의목표
To introduce the basic theories on the discrete and continuous-time finance focusing on portfolio choice models to the students. For this, we explore:
1. basics of financial markets and products,
2. basics of probability theories and stochastic calculus, and
3. asset management theory focusing on Markowitz, risk budgeting, and Merton's continuous-time portfolio models
4. 강의선수/수강필수사항
This lecture will be self-contained. However, if you take the following courses, it would be easier to understand:
Investments(투자론), Introduction to Financial Engineering(금융공학개론), Probability theories(확률과 관련된 과목), Real analysis(해석개론 등 해석학 관련 과목)
5. 성적평가
Exam(once, 40%), Assignments (3 times, 10% each),
Term Project Reporting and Its Presentation (20%), Class Participation (10%)
6. 강의교재
| 도서명 |
저자명 |
출판사 |
출판년도 |
ISBN |
|
Will be distributed.
|
|
|
0000
|
|
7. 참고문헌 및 자료
[BKMJ] Z. Bodie, A. Kane, A.J. Marcus and R. Jain, Investments, 2014, McGraw Hill
[Sh] S. Shreve, Calculus and Finance, 1997, Edited by P. Chalasani and S. Jha
[CS] L. Clewlow and C. Strickland, Implementing Derivatives Models, 2007, Wiley
[Ko] R. Korn, Optimal Portfolios, 1997, World Scientific
[Ok] B. Oksendal, Stochastic Differential Equations: An Introduction with Applications (6th ed), 2007, Springer, 2007
8. 강의진도계획
One theme per one week
11. 장애학생에 대한 학습지원 사항
- 수강 관련: 문자 통역(청각), 교과목 보조(발달), 노트필기(전 유형) 등
- 시험 관련: 시험시간 연장(필요시 전 유형), 시험지 확대 복사(시각) 등
- 기타 추가 요청사항 발생 시 장애학생지원센터(279-2434)로 요청