Advanced Investment Science

This course concentrates on fundamental principles and the application of scientific tools, mainly mathematical, to modern investment problems. We aim at illustrating how these principles can be transformed into practical solutions to actual investment problems. The coverage of the material will be suitable for upper-level undergraduate and graduate students (majored in Quantitative Finance, Engineering, Mathematics, Economics, or Management) interested in investment sciences and quantitative finance. The intended topics of the course to cover are outlined as follows: Part 1: Single-Period Random Cash Flows Mean-Variance Portfolio Theory Capital Asset Pricing Model Factor Models Utility Theory Part 2: Derivative Securities Forwards and Futures Model of Asset Dynamics Elementary Stochastic Calculus Basic Options Theory Part 3: General Cash Flow Streams Optimal Portfolio Growth Algorithmic Trading Systems