Graduate Finance · Illiquidity, Incomplete Markets, Stochastic Valuation
Mathematical Finance of Alternative Assets
The replacement toolkit for valuing what classical financial engineering can’t: buyout funds, private credit, real assets, and venture portfolios — priced with distributions, not point estimates.
Open the Laboratory → Browse the Chapters
17 Chapters
17 Lab Engines
42 Figures
3 Companions
Why this course exists
Alternative assets now hold a large share of institutional capital, yet the mathematics used to value them is largely borrowed from markets where prices are continuous, observation is continuous, and every risk is spanned. None of those assumptions hold for a buyout fund, a bilateral loan, a toll road, or a venture portfolio. This course develops the replacement toolkit: stochastic cash-flow claims, valuation under incompleteness, filtering of smoothed observations, nonlinear pricing operators, optimal stopping and switching, and robust portfolio construction — the seventeen chapters of Mathematical Finance of Alternative Assets.
The Three Companions
One engine, three ways to use it
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Laboratory Webapp
17 chapter dashboards implementing every Webapp Laboratory section of the book — interactive, seeded, and validated.
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Python Notebooks
One notebook per chapter driving the same engine, with the book’s validation checks built in.
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Excel Workbooks
One workbook per chapter, one tab per computational exercise — live formulas beside engine values.
All three consume the same Python engine with the book’s seeds (2026NNNN), so the numbers agree by construction.
What you will build
- The habit of reporting valuation distributions, not point estimates, with the operator stated and every premium located at exactly one address
- A working command of the book’s valuation operators — from the liquidity-adjusted stochastic DCF of Chapter 4 to the entropic robust operators of Chapter 17
- Hands-on fluency with the companion laboratory: every chapter has a webapp module, a Python notebook, and an Excel workbook, all producing identical numbers on identical seeds
- Verified computational work: every laboratory module carries the book’s validation checks, and passing them is part of every assignment
Chapters
The Seventeen Chapters
Chapter 1Alternative Assets & the Limits of Classical Engineering Chapter 2Stochastic Processes & Cash-Flow Simulation Chapter 3State Prices & Pricing Bounds Chapter 4The Stochastic DCF Engine Chapter 5Liquidity Shocks & Secondary Discounts Chapter 6NAV Unsmoothing & Filtering Chapter 7Indifference Pricing & Good-Deal Bounds Chapter 8Cash-Flow Modeling of Fund Structures Chapter 9Buyout Valuation: The Stochastic LBO Chapter 10Venture Capital: Power Laws & Security Design Chapter 11Private Credit: Default, Recovery, Covenants Chapter 12Real Assets: Real Estate & Infrastructure Chapter 13From Alternative Assets to Tradable Exposures Chapter 14Optimal Stopping & Stochastic Control Chapter 15Rough & Non-Markovian Dynamics Chapter 16Malliavin Calculus & Sensitivity Analysis Chapter 17Robust Valuation & Portfolio Construction