The math of finance isn't easy, but market practices are based on a softer understanding of what actually happens. In other words, there is a lot of software in the market that is necessary to perform many mathematical operations, but in order to use them effectively, it is necessary to have a good command of the infrastructure, that is, the mathematical foundations of the operations performed by the software. Practitioners may think that simply using off-the-shelf software to price existing contracts is often sufficient, but it is often necessary to have these foundations for innovative new products. From an academic point of view, the problem of answering the wrong questions frequently encountered today actually stems from the lack of mathematical foundations. For these purposes, this course is designed to make up for the deficiencies.
The course week is as follows: Prospect and arbitrage pricing, Entry - Prospect and Arbitrage Pricing, Discrete Processes, Continuous Processes, Pricing in the Foreign Exchange Market, Stock and Dividend Pricing, Bonds Pricing, Interest Rates, Single-factor HJM, Short-rate Models, Multi-factor Models, General Stock Model, Log-normal Models, Multiple Stock Models.