the structure as follow
| 1 | Course Outline and Mathematical review |
| 2 | Utility Theory and Risk Aversion |
| 3 | Mean-Variance Portfolio Theory |
| 4 | Multi-asset portfolios and their Efficient Frontier |
| 5 | CAPM |
| 6 | State-Contingent Asset Pricing |
| 8 | Multi-Period Decisions; Dynamic Programming |
| 9 | Derivative Basics and Arbitrage Relations |
| 10 | Binomial Option Model |
| 11 | Continuous State Space Pricing |
| 12 | Lognormal Distribution and Black-Scholes Model |
| |
这门课对数学要求很高,大量涉及高数,矩阵 线代,统计等 quantitative finance 必修课



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