Lecture Notes
Part I: Foundations
- Overview of Financial Systems Introduction to mathematical finance and the structure of financial systems
- Simple Market Model Basic modeling frameworks for financial markets
- Time Value of Money Present and future value concepts, discounting, and calculations
- Money Market Instruments, mechanics, and short-term interest rates
Part II: Portfolio Theory
- Introduction to Portfolios Portfolio theory fundamentals and two securities
- Risk-free Assets and Preferences Risk-free assets and preferences in portfolio optimization
- Multi-asset Portfolios Optimization with multiple assets and constraints
- CAPM Model Capital Asset Pricing Model, systematic vs. idiosyncratic risk
- Utility Functions Risk preferences, expected utility, and decision-making
- Value at Risk VaR methodology, risk measurement, and quantile-based approaches
Part III: Futures & Options
- Forwards & Futures Contracts, pricing, margins and hedging
- Options: General Properties Options, payoffs, and basic properties
- Option Pricing Binomial pricing, American options, and Black-Scholes foundations
- Financial Engineering Delta hedging, Greeks, business risk hedging, and derivatives applications
Additional Resources
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