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Intro to financial mathematics

Recommended for the 3-5th year of Specialist’s program and the 3-4th year of Bachelor’s program.

Teachers

Show more Mikhail Zhitlukhin Mikhail Zhitlukhin Candidate of Physical and Mathematical Sciences, Senior Researcher, Steklov Mathematical Institute of Russian Academy of Sciences

Lecturer, Volatility Models I

Lecturer, Introduction to Financial Mathematics

Research supervisor of Student research group "Stochastic Volatility Models"

Research supervisor of Student research group "Fundamental problems in financial mathematics"

Lecturer of the 4th International Summer School of Mathematical Finance
Show more Victor Antipov Victor Antipov Postgraduate of the Department of Probability Theory, Lomonosov Moscow State University
Course Info

The main purpose of the course is to introduce the students to the basics of financial mathematics that is essential for a basic understanding of derivative pricing theory and hedging of the related risks.

The first part of the course is devoted to the discrete time models and the necessary information about random sequences.

The second part is about the Black–Scholes model and the related models, as well as the notions needed to introduce these models (Brownian motion, Itô integral, martingale methods).


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