Mathematical models of financial economics

Course description

The course introduces to the students the basics of mathematical modeling of financial assets. The students will understand why financial assets are often modeled as stochastic processes, and how to estimate correctly risks corresponding to various financial assets. The students will learn how to determine a fair (rational) value of financial contracts and how to construct and analyze mathematical models of basic financial assets (bonds and shares). Finally, the students will learn how to check constructed models against real-life dynamics of assets in the financial markets.