Introduction to Mathematical Finance

Course Description
Alexander Sokol

Alexander Sokol

Executive Chairman of CompatibL,
Quant of the Year Award Winner (2018), Fintech Person of the Year (2022)


Advanced trading and risk management technology has the power to provide cheap and flexible financing options to technology innovations and humanitarian causes. If you join CompatibL, you will be at the forefront of positive change in the world.

We would like to invite university students from any discipline with interest in the financial industry to attend our virtual training course where you will learn the fundamentals of mathematical finance—the modern theory of capital markets trading and risk management.

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    Agenda

    Lecture 1

    Securities and Models

    • Operations of Financial Markets
    • Equity Securities – Stocks
    • Fixed Income Securities – Bonds

    Lecture 2

    Derivatives and Valuation

    • Equity Forwards and Options
    • Interest Rate Deposits, FRAs and Swaps
    • Market Price of Risk

    Lecture 3

    Risk Management

    • Historical and Forward Looking Risk Models
    • Market Risk – Value at Risk (VaR), Expected Shortfall (ES)
    • Credit Risk – Issuer and Counterparty Exposure, Limits

    Lecture 4

    Other Asset Classes

    • Credit – Credit Default Swaps
    • Commodity – Spot and Forwards