ORIE 6620 - Mathematics of Financial Systems

Spring. 3 credits.

Prerequisite: one semester calculus based probability course.

A. Minca.

This course covers the rigorous mathematical foundations for the analysis of financial systems. We briefly study models of financial markets based on stochastic processes (risk is exogenous) and he mathematics of arbitrage in discrete time. We introduce a wide range of tools that would serve us to model how markets generate and further transmit risk (risk is endogenous). Topics include contagion in financial networks, random graphs, optimal control of diffusions on random networks.