Mathematical Finance, Informational Markets, Arbitrage theory, Mathematical Insurance, Risk Quantification and Risk Management, Backward Stochastic Differential Equations, Stochastic Analysis.
Simple Market Model: one-step binomial model, basic notions and assumptions. Risk-Free Assets: simple interest, zero-coupon bonds, money market account. Risky Assets: dynamic of stock prices, binomial tree model, trinomial tree model. Discrete time market model: stock and money market model, extended models. Portfolio management: risk, two securities, capital asset pricing model. Prerequisite: MATH 253 and STAT 265 or consent of the Department.Fall Term 2020
Time at death random variables, continuous and discrete insurances, endowments and varying annuities, net premiums and reserves. Prerequisites: MATH 253 and STAT 265. Corequisite: MATH 215 or 317.Winter Term 2021
Probability spaces, algebra of events. Elements of combinatorial analysis. Conditional probability, stochastic independence. Special discrete and continuous distributions. Random variables, moments, transformations. Basic limit theorems. Prerequisite: STAT 371.Fall Term 2020
-Invited as key-notes speaker at the 8th Bachelier Colloquium 2014 (January 12-18), M´etabief, France.
-Invited as key-notes speaker at the Seventh Bachelier Colloquium 2013 (January 13-20), M´etabief, France.
-Invited speaker to “The international Workshop on Mathematical Finance and Insurance” in honor of Sir James Mirrlees, the 1996 Nobel Price in Economics. Lijiang, China, in May 27- Jun 03/2006.
-Invited speaker to “The international Workshop on Mathematical Finance and Insurance”in honor of Harry Markowitz, the 1990 Nobel Price in Economics. Yellow Mountains, Tunxi, China, in May 24-31, 2004