Syllabus
Mathematical Finance of Alternative Assets · Graduate Finance · 3 credit hours
Samir Asaf, PhD, CFA, CMA, CTP, CM&AA
Description
A rigorous treatment of the valuation and risk management of alternative assets — private equity, venture capital, private credit, real assets, and infrastructure — built on the mathematics their features actually require: restricted tradability, sparse and noisy observation, unspanned risk, contractual nonlinearity, and controlled timing. The course follows the textbook chapter by chapter, with each week anchored by the corresponding laboratory module.
Materials
- Textbook: Mathematical Finance of Alternative Assets: Illiquidity, Incomplete Markets, and Stochastic Valuation (Springer)
- Laboratory: the companion webapp (all assignments reference its modules)
- Per chapter: lecture slides, a Python notebook, and an Excel workbook
Grading (suggested)
| Component | Weight |
|---|---|
| Problem sets (6, drawn from end-of-chapter exercises) | 35% |
| Laboratory reports (E1–E4 experiments, validation checks included) | 25% |
| Midterm (Chapters 1–8) | 15% |
| Final project: value a real alternative asset end-to-end | 25% |
Standing rules of the course
- Report distributions. A valuation without its dispersion and standard error is incomplete.
- Locate every premium at exactly one address — cash flows, SDF, or valuation operator — and never at two.
- State the filtration. Every reported moment is computed with respect to some information set; say which.
- Validate before you trust. A simulation that has not passed its closed-form anchors is not evidence of anything.
Prerequisites
Probability at the level of a first graduate course; asset pricing; comfort with Python. Chapter 2 provides a self-contained refresher.