CEMLA Course: Financial Mathematics

November 21 - 27


The Center for Latin American Monetary Studies (CEMLA) conducted the “Financial Mathematics” course in digital format from November 21 to 27, 2023. Its objective was to provide participants with tools from the subject of financial mathematics with a focus on continuous-time stochastic calculus, underscoring applications to central banking using Python. The course was taught by Jaime Casassus, Associate Professor at the Institute of Economics of the Pontificia Universidad Católica de Chile.

The course consisted of theoretical sessions with practical applications in Python. During the first day, Brownian processes and Itô calculus were covered. On the second day, Black and Scholes valuation and risk-neutral valuation were reviewed. Numerical methods, such as Monte Carlo simulations, implicit and explicit finite differences, and applications to option valuation were covered on the third day. Then, on the fourth day, asset pricing models for bonds, futures, options, and swaps were revised and applications were discussed. Finally, the course concluded with Kolmogorov equations and dynamic programming.

Jaime Casassus

Jaime Casassus works as an Associate Professor at the Institute of Economics of the Pontificia Universidad Católica de Chile. Jaime holds a Ph.D. in Finance from Carnegie Mellon University, a B.S. in Civil Industrial Engineering and a M.S. in Industrial Engineering from the Pontificia Universidad Católica de Chile. He has also been Managing Editor for Quantitative Finance, Associate Editor for the Journal of Commodity Markets, Visiting Professor at the University of California, Berkeley and Member of the Finance Committee that advises the Chilean Ministry of Finance on the investment policy of its sovereign wealth funds. Jaime has publications in Journal of Banking & Finance, Journal of Futures Markets, Review of Financial Studies, European Financial Management, Journal of Finance, among other journals.