2024 Faculty Courses School of Science Department of Mathematics Graduate major in Mathematics
Advanced Topics in Mathematical Finance C
- Academic unit or major
- Graduate major in Mathematics
- Instructor(s)
- Yuji Morimoto
- Class Format
- Lecture (Face-to-face)
- Media-enhanced courses
- -
- Day of week/Period
(Classrooms) - 9-10 Wed
- Class
- -
- Course Code
- MTH.D403
- Number of credits
- 100
- Course offered
- 2024
- Offered quarter
- 3Q
- Syllabus updated
- Mar 14, 2025
- Language
- Japanese
Syllabus
Course overview and goals
The instructor in this course will explain the mathematical principles and techniques of value assessment and risk assessment in the risk management of financial institutions, as well as the current state and issues in the risk management of financial institutions. In this course (C), the instructor will focus on explaining the technical asspect of risk measurement and valuation.
Course description and aims
The goal of the course is for the students to understand the principles of the valuation, risk and risk management of the financial instruments and to gain insight into the risk management issues.
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)
Risk management practice in an insuracen firm, risk management advisory in investment banks and a consulting firm
Keywords
Economic-based valuation (Market consistent valuation), risk, risk management
Competencies
- Specialist skills
- Intercultural skills
- Communication skills
- Critical thinking skills
- Practical and/or problem-solving skills
Class flow
Handouts
Course schedule/Objectives
| Course schedule | Objectives | |
|---|---|---|
| Class 1 | Introduction (overview of the course) | Details will be provided in each class session. |
| Class 2 | Valuation principles | |
| Class 3 | Valuation of Insurance Liabilities (1） | |
| Class 4 | Valuation of Insurance Liabilities (2) | |
| Class 5 | Market risk measurement （VaR） | |
| Class 6 | Credit risk measurement | |
| Class 7 | Issues in risk measurement |
Study advice (preparation and review)
To enhance effective learning, students are encouraged to spend approximately 100 minutes preparing for class and another 50 minutes reviewing class content afterwards (including assignments) for each class.
They should do so by referring to textbooks and other course material.
Textbook(s)
None in particular
Reference books, course materials, etc.
Morimoto, et. al ``Keizai kachi base no Hoken ERM no Honshitsu'' (in japanese)
Morimoto, ``Zero kara wakaru kinyuh risk kanri'' (in japanese)
Evaluation methods and criteria
Based on small exam or reports in the class. Details will be provided in class.
Related courses
- MTH.C361 ： Probability Theory
- MTH.C507 ： Advanced topics in Analysis G1
- MTH.C508 ： Advanced topics in Analysis H1
- MTH.E440 ： Special lectures on advanced topics in Mathematics Q
- MTH.D401 ： Advanced Topics in Mathematical Finance A
- MTH.D402 ： Advanced Topics in Mathematical Finance B
- MTH.D404 ： Advanced Topics in Mathematical Finance D
Prerequisites
None in particular
Contact information (e-mail and phone) Notice : Please replace from ”[at]” to ”@”(half-width character).
ymorimoto[at]capitas.jp
Other
It is desirable to for students to take both C and D.