3. 강의목표
The purpose of this course is to provide an introduction to mathematics for pricing financial derivatives.
We discuss various notions of discrete-time finance and related mathematical tools such as financial derivatives, arbitrage, martingale, equivalent martingale measures, option pricing, and so on.
4. 강의선수/수강필수사항
This course contains a little linear algebra, calculus, and statistics, but not that much.
However, there is no particular prerequisite.
5. 성적평가
Class Attitude/Participation: 15%
Homework Assignments: 25%
Midterm Exam: 30%
Final Exam: 30%
6. 강의교재
| 도서명 |
저자명 |
출판사 |
출판년도 |
ISBN |
|
Introduction to Mathematical Finance
|
tanley R. Pliska
|
Basil Blackwell
|
1997
|
|
7. 참고문헌 및 자료
1. Principles of Financial Economics, 2nd Edition, LeRoy and Werner, 2014, Cambridge University Press
2. Mathematical Financial Economics, Evstigneev, Hens, and Schenk-Hopp, 2015, Springer
3. Intermediate Financial Theory, 3rd Edition, Danthine and Donaldson, 2014, Academic Press
4. Theory of Asset Pricing, Pennacchi, 2008, Pearson
5. Stochastic Calculus for Finance I: Binomial Asset Pricing Model, Shreve, 2004, Springer-Verlag
8. 강의진도계획
1. Single Period Securities Markets
2. Single Period Consumption and Investment
3. Multiperiod Securities Markets
4 .Options, Futures, and Other Derivatives
5. Optimal Consumption and Investment Problems
6. Bond and Interest Rate Derivatives
9. 수업운영
1. 이론 강의
2. 대면 강의
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