数理金融

Thecourse of the Mathematical Finance is customized for graduatestudents majoring in mathematics, financial mathematics, finance or anysubjects in SUSTech. In this course, we will discuss topics relating to the intersectionsbetween mathematics and finance and highlight how to utilize mathematicaltheory in solving financial problems. It focuses on core contents of finance:asset pricing theory. It emphasizes the cultivation of students' ability tosolve financial problems with mathematical knowledge. Topics include the following:security market model, state price, no arbitrage principle, risk neutralprobability measure, stochastic discount factor, optimal investment consumptionproblem in a single period model, equilibrium pricing, capital asset pricing model, general method ofderivative pricing, market completeness, multi-period binomial pricing model,Brownian motion, conditional mathematical expectation, martingale, Ito formula,Black-Scholes option pricing model, and corporate security pricing method. Afterthe course study, students are expected to realize that mathematics isimportant for finance and finance is also very helpful to understand mathematics.