The course covers the basic concepts of financial mathematics. Topics might include a selection of the following:

• Discrete probability: basic concepts and elementary models, conditional expectation, martingales
• The binomial asset pricing model
• Mean-variance portfolio Theory, Markowitz Model
• Capital Asset Pricing Model
• Random Vectors and Distributions
• Option Pricing via Binomial Model
• Black-Scholes Option Pricing, Greeks
• Fixed-income securities
• Risk measures
• Utility functions

After completing this class the student will have the ability to describe and apply:

• the basic concepts of discrete probability
• the binomial asset pricing model
• the Mean-Variance Portfolio Theory
• the Capital Asset Pricing Model
• the basic concepts of risk measures

• 2 written tests (midterm weights 30%, final weights 40% of the final grade)

• homework assignments (30% of the final grade) , students will be asked to present their solutions in the class, presentation of the solutions is also counted towards the grade

Grading key:

1:  >= 86%

2:  >= 74%

3:  >= 62%

4:  >= 50%

5:  < 50%

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