Li, Dongchen portrait

Li, Dongchen

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

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

Spring 2019 Courses

Spring 2019 Courses
Course - Section Title Days Time Location
ACSC 352 - 01 Actuarial Contingencies - T - R - - - 0800 - 0940 OSS 122

Days of Week:

- T - R - - -

Time of Day:

0800 - 0940

Location:

OSS 122

Course Registration Number:

20002 (View in ClassFinder)

Credit Hours:

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)
MATH 111 - 03 Calculus/Business & Soc Sci - T - R - - - 0955 - 1135 OWS 250

Days of Week:

- T - R - - -

Time of Day:

0955 - 1135

Location:

OWS 250

Course Registration Number:

20413 (View in ClassFinder)

Credit Hours:

4 Credit Hours

Instructor:

Dongchen Li

An introductory course in calculus with motivation and examples drawn from business and the social sciences whenever possible. Does not include the calculus of trigonometric functions. Offered Fall and Spring. Prerequisite: a grade of C- or above in MATH 103 or MATH 105 or placement at MATH 111 or above. Four years of high school mathematics, including college algebra, are also recommended as background for this course. Students who are considering taking MATH 114 should take MATH 113 instead of MATH 111. NOTE: Students who receive credit for MATH 111 may not receive credit for MATH 108, 109, or 113.

Schedule Details

Location Time Day(s)
MATH 111 - 04 Calculus/Business & Soc Sci - T - R - - - 1330 - 1510 OWS 250

Days of Week:

- T - R - - -

Time of Day:

1330 - 1510

Location:

OWS 250

Course Registration Number:

22359 (View in ClassFinder)

Credit Hours:

4 Credit Hours

Instructor:

Dongchen Li

An introductory course in calculus with motivation and examples drawn from business and the social sciences whenever possible. Does not include the calculus of trigonometric functions. Offered Fall and Spring. Prerequisite: a grade of C- or above in MATH 103 or MATH 105 or placement at MATH 111 or above. Four years of high school mathematics, including college algebra, are also recommended as background for this course. Students who are considering taking MATH 114 should take MATH 113 instead of MATH 111. NOTE: Students who receive credit for MATH 111 may not receive credit for MATH 108, 109, or 113.

Schedule Details

Location Time Day(s)