Li, Dongchen portrait

Li, Dongchen

Assistant Professor
Office
OSS 211
Phone
(651) 962-5538
Fax
651-962-5670
Mail
OSS 201

Summer 2018 Courses

Summer 2018 Courses
Course - Section Title Days Time Location

Fall 2018 Courses

Fall 2018 Courses
Course - Section Title Days Time Location
ACSC 464 - 01 Mathematical Finance - T - R - - - 0800 - 0940 BEC LL03

Days of Week:

- T - R - - -

Time of Day:

0800 - 0940

Location:

BEC LL03

Course Registration Number:

40716 (View in ClassFinder)

Credit Hours:

4 Credit Hours

Instructor:

Dongchen Li

The focus of this course is on applications of probability, stochastic processes, and other mathematical tools to problems in finance. Both discrete and continuous models, including binomial, Brownian motion, and geometric Brownian motion models will be used to investigate the effects of randomness in financial markets and the behavior of financial instruments. The mathematical realization of arbitrage and hedging strategies will be examined, including the Arbitrage Theorem and the concept of risk-neutral pricing. Applications will include the pricing of equity options, currency transactions and the use of duration and convexity in fixed income analysis. The course will be of interest to students of actuarial science, mathematics, finance and economics who want to develop a better quantitative understanding of financial risk. Offered fall semester. Prerequisites: a grade of C- or above in MATH 313 or MATH 303 and ACSC 264 or a course in FINC approved by the instructor

Schedule Details

Location Time Day(s)
ACSC 464 - 02 Mathematical Finance - T - R - - - 0955 - 1135 BEC LL03

Days of Week:

- T - R - - -

Time of Day:

0955 - 1135

Location:

BEC LL03

Course Registration Number:

41497 (View in ClassFinder)

Credit Hours:

4 Credit Hours

Instructor:

Dongchen Li

The focus of this course is on applications of probability, stochastic processes, and other mathematical tools to problems in finance. Both discrete and continuous models, including binomial, Brownian motion, and geometric Brownian motion models will be used to investigate the effects of randomness in financial markets and the behavior of financial instruments. The mathematical realization of arbitrage and hedging strategies will be examined, including the Arbitrage Theorem and the concept of risk-neutral pricing. Applications will include the pricing of equity options, currency transactions and the use of duration and convexity in fixed income analysis. The course will be of interest to students of actuarial science, mathematics, finance and economics who want to develop a better quantitative understanding of financial risk. Offered fall semester. Prerequisites: a grade of C- or above in MATH 313 or MATH 303 and ACSC 264 or a course in FINC approved by the instructor

Schedule Details

Location Time Day(s)

J-Term 2019 Courses

J-Term 2019 Courses
Course - Section Title Days Time Location