Li, Dongchen

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

Fall 2017 Courses

Fall 2017 Courses
Course - Section Title Days Time Location
ACSC 464 - 01 Mathematical Finance - T - R - - - 0800 - 0940 OSS 227
CRN: 40724 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 OWS 251
CRN: 41623 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 2018 Courses

J-Term 2018 Courses
Course - Section Title Days Time Location

Spring 2018 Courses

Spring 2018 Courses
Course - Section Title Days Time Location
ACSC 352 - 02 Actuarial Contingencies - T - R - - - 0955 - 1135 OSS 214
CRN: 21139 4 Credit Hours Instructor: Dongchen Li Extension of the analysis of ACSC 351 to multiple life functions and multiple decrement theory. Topics will include: multiple life functions and multiple decrement models, valuation of pensions, insurance models including expenses, non-forfeiture benefits and dividends. Offered spring semester. Prerequisite: a grade of C- or above in ACSC 351

Schedule Details

Location Time Day(s)