2020 Faculty Courses School of Science Department of Mathematics Graduate major in Mathematics
Special lectures on advanced topics in Mathematics Q
- Academic unit or major
- Graduate major in Mathematics
- Instructor(s)
- Yuji Shinozaki
- Class Format
- Lecture (Zoom)
- Media-enhanced courses
- -
- Day of week/Period
(Classrooms) - Intensive (Zoom)
- Class
- -
- Course Code
- MTH.E440
- Number of credits
- 200
- Course offered
- 2020
- Offered quarter
- 4Q
- Syllabus updated
- Jul 10, 2025
- Language
- Japanese
Syllabus
Course overview and goals
In this course, some topics on mathematical finance will be described with practical examples. The main aims of this course are to introduce some practical aspects of the mathematical finance and to present the mathematical formulations of practically important financial problems.
For example, the following topics would be introduced with some assignments of computer programmings
1. Arbitrage free pricing theory
2. Binomial model
3. Black—Scholes model
4. Volatility smile
5. Monte Carlo simulation / Discretization of stochastic differential equations
Course description and aims
・Understand how the probability theory and the mathematical finance are used in the financial institution
・Be able to survey the recent hot topics of mathematical finance
・Get conscious about linkages of pure mathematics to the real world
Student learning outcomes
実務経験と講義内容との関連 (又は実践的教育内容)
The lecturer has been working in a financial institute as a quants.
Base on my professional experience as a derivative quant in the financial industry, I'll give some examples that theory of Mathematical finance is effective in practice.
Keywords
Mathematical finance, Derivative quant, Arbitrage free pricing theory, Stochastic Differential Equation, Monte Carlo simulation,
Competencies
- Specialist skills
- Intercultural skills
- Communication skills
- Critical thinking skills
- Practical and/or problem-solving skills
Class flow
This is a standard lecture course with the presentation slides and black boards. There will be some assignments.
Course schedule/Objectives
| Course schedule | Objectives | |
|---|---|---|
| Class 1 | Arbitrage free pricing theory | Details will be provided during each class |
| Class 2 | Binomial Model | Details will be provided during each class |
| Class 3 | Black--Scholes Model | Details will be provided during each class |
| Class 4 | Volatility Smile | Details will be provided during each class |
| Class 5 | Monte Carlo simulation / Discretization of stochastic differential equations | Details will be provided during each class |
Study advice (preparation and review)
Textbook(s)
Details will be provided during each class session
Reference books, course materials, etc.
Details will be provided during each class session
Evaluation methods and criteria
Assignments (100%).
Related courses
- MTH.C361 ： Probability Theory
- MTH.C507 ： Advanced topics in Analysis G1
- MTH.C508 ： Advanced topics in Analysis H1
Prerequisites
None in particular