Introduction to Financial Mathematics

#Course Outline

% Lecturer

Nam-Yong Lee

E214, 055-320-3860

Office Hour: Appointment by e-mail

E-mail 사용: 제목을 “[금융수학] 제목”의 형태로 하기 바람

CourseAccount: "amathinje@gmail.com"

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% Grade

출석 & 태도	5%	결석(-1), 지각(-2), 이탈(-3), 소란(-1), 난동(-2), 봉기(-3)

HW(5)	5%	Absolute Zero-Tolerance on Late HW

No Return of HW

Quiz(5)	30%	숙제내용에 대한 질문으로 구성, 숙제 제출 직후 실시

Midterm	30%

Final	30%

% Materials

* Textbook: "Mathematics for Finance: An Introduction to Financial Engineering" by Marek Capinski and Tomasz Zastawniak, Springer

* Lecture Note: available from 'CourseAccount'

* OpenYale Course "Financial Market (2011)" taught by Prof. Robert Shiller: 일부 강의의 청취가 숙제가 될 것임

% Course Schedule and Contents

Week	Contents	Textbook	HW and Quiz
1	Introduction Review of Probability Theory
2	A Simple Market Model 1 (No Arbitrage Principle)	Chap 1
3	A Simple Market Model 2 (Forward Contract, Option)	Chap 1	HW #1(OY2)/Quiz #1
4	Risk-Free Assets 1 (Time Value of Money)	Chap 2
5	Risk-Free Assets 2 (Money Market)	Chap 2	HW #2(OY8)/Quiz #2
6	Risky Assets 1 (Binomial Tree Model)	Chap 3
7	Risky Assets 2 (Martingale Property)	Chap 3	HW #3(OY9)/Quiz #3
8	MidTerm
9	Discrete Time Market Model 1	Chap 4
10	Discrete Time Market Model 2 (Theorem of Asset Pricing)	Chap 4
11	Efficient Markets		HW #4(OY7)/Quiz #4
12	Portfolio Management 1	Chap 5
13	Portfolio Management 2 (Captital Asset Pricing Model)	Chap 5
14	Supporting Financial Institutions		HW #5(OY4)/Quiz #5
15	Final

% OY2 = Lecture 2 of "Financial Market"(2011) lectured by Prof. Robert Shiller (OpenYale)