Financial mathematics, using modern mathematical tools such as stochastic analysis, stochastic optimal control, backward stochastic differential equation, nonlinear analysis and fractal geometry to study the following problems:
(1) Capital asset pricing model, arbitrage pricing theory, hedging theory and the optimal investment and consumption theory of securities (such as futures, options and other derivatives) in incomplete financial markets.
(2) Term structure of interest rate and pricing theory of interest rate derivatives.
(3) Risk management and risk control theory in incomplete financial markets.
List of courses related to mathematics and finance
1. Math:
Calculus, differential equations (especially partial differential equations), measure theory, combinatorics.
2 probability statistics:
Basic probability statistics, advanced probability theory (postgraduate course), historical calculus
The basis of probability theory-measure theory, stochastic process,
Stochastic differential equation and its application (stochastic differential equation and its application)
Applied multivariate statistical analysis
3 Finance:
Mathematical finance (mathematical finance)
General financial theory, financial market operation, risk management, asset pricing theory (especially derivative product pricing.
4. Programming:
Excel must be proficient in C or C++, and have some mechanical points such as MATLAB, SAS and Java.
5. Presentation skills: Powerpoint slides must be done.