Personal web-page:

Curriculum Vitae:

CV of Xanthopoulos Stylianos

 

Research Interests:

Financial Mathematics, Risk Management in Banking, Portfolio Management

 

Teaching:

Fall Semester

Financial Mathematics Ι  (5^th Semester )

Teaching hours:   Monday         19:00-20:00

                         Tuesday     09:00-12:00

                            

Financial Mathematics    (Postgraduate Program)

Teaching hours:   Wednesday  18:00-21:00

 

Spring Semester

Introduction to Risk Management in Banking, Risk Measurement and Management (Postgraduate Program)

 

About the courses:

FINANCIAL MATHEMATICS Ι (331-3006) [-C-] :

5th Semester Course

(3 hours theory + 1 hour lab/tutorial exercises)

9 ECTS Points

Course Contents:

Brief introduction to concepts of finance (markets, securities, portfolio, interest rates, time value of money etc.). Introduction to contingent claims, options and forward contracts. Arbitrage, law of one price, put-call parity, valuation of forward contracts. The one period and the multi-period binomial model. Valuation and hedging of contingent claims on the binomial model. Introduction to equivalent martingale measures and to risk neutral pricing.  Introduction to the  Black-Scholes model.  Introduction to theory of choice under uncertainty (expected utility, Arrow-Pratt risk measures). Mean-variance analysis and efficient frontier. Various applications.

Prerequisite(s):

Familiarity with the basic concepts of the following courses is desirable:

Introduction to Financial Mathematics, Informatics with applications in Statistics, Calculus Ι, Applied Linear Algebra Ι, Applied Linear Algebra ΙΙ, Probabilities Ι, Probabilities ΙΙ, Statistics Ι, Stochastic Processes Ι, Ordinary Differential Equations.

Learning Outcomes:

Students who have successfully completed the course will have:

• Achieved familiarity with the basic concepts of modern finance, as these are described in the Course Contents above.

• Developed their interpretational skills and a critical mind with regard to the use of mathematical models within the context of finance.

• Applied a variety of concepts and techniques from previous courses.

• Gained a solid conceptual background for any further study of financial mathematics.

Course Assessment:

Written Exams.

Follow-up Courses:

Financial Mathematics II, Financial Mathematics III, Mathematical Economics.

Textbooks used:

1) S. Ross, Στοιχειώδης Εισαγωγή στα Χρηματοοικονομικά Μαθηματικά, Edit. Univ. of Macedonia, 2007.

2) S. Xanthopoulos, Χρηματοοικονομικά Μαθηματικά Ι, Lecture Notes.

Instructor:

Stylianos Xanthopoulos 

 

FINANCIAL MATHEMATICS [-CA- Postgraduate]

Fall Semester Course

(3 hours Theory)

3 Teaching Points

Course Contents:

Introduction to the basic concepts and the formalism of financial mathematics: consumption, investments, arbitrage, equilibrium, Arrow-Debreu probability measures, contingent claims pricing, hedging portfolios, complete and incomplete markets, risk and return. The binomial model, the general discrete model, the Black-Scholes model.

Prerequisite(s):

Familiarity with the basic concepts of the following is desirable:

Calculus, Linear Algebra, Probabilities, Stochastic processes, Differential equations.

Learning outcomes:

Students who have successfully completed the course will have:

• Achieved familiarity with the basic concepts of modern finance, as these are described in the Course Contents above.

• Developed their interpretational skills and a critical mind with regard to the use of mathematical models within the context of finance.

• Applied a variety of concepts and techniques from previous courses.

• Gained a solid conceptual and technical background for any further study of financial mathematics.

Course Assessment

Written Exams.

Follow-up Courses:

Derivatives.

Textbooks used:

1) Π.-Χ.Γ Βασιλείου, Στοχαστικά Χρηματοοικονομικά, Εκδόσεις Ζήτη, (2001)

2) Α. Γιαννακόπουλος, Χρηματοοικονομικά ΙΙΙ, Lecture notes

3) M. Baxter, A. Rennie, Financial Calculus, An introduction to derivative pricing, Cambridge University Press

4) M. Dothan, Prices in Financial Markets, Oxford University Press

5) S. Pliska, Introduction to Mathematical Finance, Discrete time models, Blackwell

6  R. Elliott, P.E. Kopp,  Mathematics of Financial Markets, Springer

7) D. Duffie, Dynamic Asset Pricing Theory,  Princeton University Press

8) T. Bjork, Arbitrage Theory in Continuous Time, Oxford University Press

9) F.E. Benth, Option Theory with Stochastic Analysis, An introduction to mathematical finance, Springer

10) . Lamberton, B. Lapeyre, Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall

11) J. Hull,  Options, Futures and Other Derivatives, Prentice Hall

Instructor:

Stylianos Xanthopoulos