Advanced Investment Theory

MEIE786 Advanced Investment Theory: Syllabus

Date : Tuesday and Thursday 15:30-16:45

Lecture room : 4th Science building, Room 405

Lecturer : Bong-Gyu Jang

(4th Science building, Tel: 279-2372,

Office hour : Tuesday and Thursday 16:45-18:00.

The objective of this course is to introduce the recent topics about the discrete and continuous-time finance to the students. For this, we explore:

1. Financial markets and products

2. Probability theory and stochastic differential equations (SDEs)

3. Financial modeling and Option pricing theory,

4. Portfolio theory focusing on Markowitz and Merton's theories.

※ The prerequisite for this course: none (self-contained)

※ Grading policy : exam(once) 40%, homework(announced during the classes, 3-4 times) 30%, class participation 10%, term project(and Presentation) 20%

※ Expected schedule

[BKM] Z. Bodie, A. Kane, and A.J. Marcus, Investments, 8th Ed. (International), McGraw Hill.

[Mer] R.C. Merton, Continuous-time Finance, Blackwell Publishing.

[Oks] B. Oksendal, Stochastic Differential Equations: An Introduction with Applications (6th Ed.), Springer, 2007

[Wil] D. Williams, Probability with Martingales, Cambridge Univ. Press, 1991

[WHD] P. Wilmott, S. Howison, and J. Dewynne, The Mathematics of Financial Derivatives: A student introduction, Cambridge univ. press, 1995