Optimal portfolios, pricing and hedging in incomplete markets |
授课对象:所有研究生 制定日期:2009 |
Center for Financial Engineering, Suzhou University, Suzhou, China – Autumn Semester 2009/2010 Optimal portfolios, pricing and hedging in incomplete markets -PDE methods for risk premium and pricing in interest rate, foreign exchange and equity markets- Instructor: Professor Srdjan Stojanovic, Ph.D., Department of Mathematical Sciences, University of Cincinnati, Cincinnati OH, 45221-0025, U.S.A. e-mail: srdjan@math.uc.edu, web site: http://math.uc.edu/~srdjan/ Suzhou phone number: 65242435 Office:219 Weige Building Office hours: by appointment (send me an e-mail or call), or just stop by. Syllabus: 1 Introduction: SDEs and PDEs 2 Simple economies: multi-tradable, multi-factor econometric SDE models 3 Optimal portfolio theory 4 Neutral pricing 5 Pricing in complete and incomplete markets 6 Risk premium, i.e., the market price of risk 7 The most conservative hedging 8 Relaxed hedging 9 Indifference pricing 10 The relationship between neutral and indifference pricing: liquid vs. illiquid contracts 11 Interest rates, bonds, interest rate derivatives 12 SDE models for Foreign Exchange (FX) 13 Market risk aversion and FX 14 FX derivatives: futures and options 15 Public equity: when does the Miller-Modigliani theorem fail, interest rate risk, etc. 16 Private equity Lecture notes: lecture notes will be distributed weekly; they are to become a book to be published by Springer; student’s assistance in further editing of notes, finding misprints, errors, etc. would be appreciated and acknowledged. Class format: the class language is English – sorry, I don’t speak Chinese, but would like to learn; the classes will consist of teacher’s lectures and student home works, projects, and other presentations; questions and discussions are always very welcome, before, during, and/or after the class; in particular, if English is a problem, always feel free to ask a question – there are students in the class who can translate very well. Main references: 1 S. Stojanovic, Computational Financial Mathematics using Mathematica, Birkhauser, Boston, 2003. 2 S. Stojanovic, Advanced Financial Engineering for Interest Rates, Equity and FX, GARP (lecture notes), New York, 2007. 3 further references available on the teacher''s web site above. Computer software: for home works and projects sometimes it will be necessary to use some high level programming language; the teacher uses Mathematica (http://www.wolfram.com), and some Mathematica code will be presented in the lecture notes and lectures, but only as an illustration – it is not necessary for following the lectures; Suzhou University might have a site license for Mathematica (go to http://www.wolfram.com/siteinfo/ using the campus network). Further research: Let me know if you would like to get involved into some related research project that goes beyond the class home works and class projects. |