MATHEMATICS FOR FINANCE 1

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Subtitle	Introduction to financial derivatives
Lecturer(s)	NINOMIYA, MARIKO
Credit(s)	2
Academic Year/Semester	2024 Spring
Day/Period	Fri.1
Campus	Hiyoshi
Class Format	Face-to-face classes (conducted mainly in-person)
Registration Number	88738
Faculty/Graduate School	ECONOMICS
Department/Major	ECONOMICS Type A, B
Year Level	1, 2
Field	GENERAL EDUCATION MANDATORY ELECTIVE (CATEGORY I)
Grade Type	This item will appear when you log in (Keio ID required).
Course Description	The course "Mathematics for Finance 1" covers the basics of financial instruments and general fundamentals of option pricing leading up to derivation of the Black-Scholes formula and numerical calculation of European and American option prices. The course "Mathematics for Finance 2" is an introductory course of modern portfolio theory.
K-Number	FEC-EC-01132-211-12

Course Administrator	Faculty/Graduate School	FEC	ECONOMICS
Course Administrator	Department/Major	EC	ECONOMICS
Main Course Number	Level	0	Faculty-wide
	Major Classification	1	General Education Course
	Minor Classification	13	Category Ⅰ(Natural Sciences/Mathematical) - Mathematics and Statistics
	Subject Type	2	Elective required subject
Supplemental Course Information	Class Classification	2	Lecture
	Class Format	1	Face-to-face classes (conducted mainly in-person)
	Language of Instruction	1	Japanese
Academic Discipline		12	Analysis, applied mathematics, and related fields

Course Contents/Objectives/Teaching Method/Intended Learning Outcome

The main theme of this course is the option pricing theory. The first half of this course will cover the basics of financial instruments and general fundamentals of option pricing.
The concept of dynamic hedging will be discussed by starting with describing a single-period model as well as numerical calculations of European and American option prices in a multi-period model. The Black--Scholes formula will also be derived during the course.