Mathematical Finance

This course focuses on continuous-time optimal portfolio choice and equilibrium asset pricing. Students will first learn how to solve optimal portfolio selection problems with both the Hamilton-Jacob-Bellman equation approach and the martingale approach. Then we will move on to solve for the equilibrium interest rate and expected return and volatility for stocks. The course is mainly designed for students in the Masters in Finance program who aim at quantitative positions in investment banks, hedge funds and consulting firms.