APM466H1: Mathematical Theory of Finance

36L

Introduction to the basic mathematical techniques in pricing theory and risk management: Stochastic calculus, single-period finance, financial derivatives (tree-approximation and Black-Scholes model for equity derivatives, American derivatives, numerical methods, lattice models for interest-rate derivatives), value at risk, credit risk, portfolio theory.

Joint undergraduate/graduate course - APM466H1/MAT1856H

Science
The Physical and Mathematical Universes (5)