The course is delivered through zoom (click to access).
- Keep your camera “ON”
- Mute yourself when not speaking
- Make efficient use of the interaction tools
I welcome questions, even if they lead to interruptions: this course is best when kept as interactive as possible.
I try to monitor the “CHAT” while I lecture, but note it is hard to keep my attention permanently split.
The course has a facebook page linked to the email address email@example.com.
While this will not be an official communication channel for the course, in the past it has proved to be a valuable system to issue occasional announcements quickly, and some students use that as a venue to ask questions in a manner that will be visible to other students.
Facebook Course Group
There is a facebook group APM2021 that I created specifically to hold conversations amongst all of us.
If you do use it for that purpose, I will try to answer in a timely fashion, but please make communications open so others can see my answers, for example by doing a post on the course group.
Access this group here:
Introduction to Mathematical Finance
Since the work of Nobel Laureates Scholes, Markowitz, Sharpe, Merton and many others, quantitative methods have been established as a fundamental necessity in many branches of the financial sector.
APM466 (for undergraduate students) or MAT1856 (for graduate students) is an introductory course to a variety of topics in Mathematical Finance; the objective of the course is to give students a broad view of the field and assumes students have a solid background in mathematical sophistication.
The financial sector is divided into five general sectors: banking, asset management, financial services, insurance and payment systems. In the current year, this course focuses on methods for the first three.
The themes developed in the course include bond and fixed income mathematics, asset and derivative pricing, credit risk, investments and hedge funds. The course is cross-listed as an undergraduate course and a graduate course. The course has a textbook on the Tophat platform, which also contains all the presentations given in class.
This is a general term that makes a reference to the investment sector, where one asset (cash for example) is used to replace another asset (a stock, a bond, or other); this is done to obtain certain objectives (a return or performance target, for example). Since the 50’s, much of this has been quantified, and while there are many imperfect theories to understand how to best invest, we will focus on the investment act as an instance of a risk transfer exercise. This allows us to bring a lot of powerful quantitative techniques to define objectives and optimize results.
Options, futures, flexicaps, etc. have become part of the lexicon of everyday financial activity; we will learn what they are, why people and institutions use them, what is difficult about them, and various methods to understand their value, price, risks, etc.
This will require that we develop a certain understanding of stochastic analysis; the course will cover an ultra-simplified chapter on stochastic calculus, Ito’s Lemma, etc. but our main focus will be on the practical. dealing with the main questions arising in this area.
Still one of the main areas of jobs in the financial sector for graduates with quantitative skills, we will explain the status quo and also discuss some of the new emerging areas, which employ a heavy dose of data science, machine learning techniques and in general a very deep use of technology innovation.
Communications and Business skills
Knowing that many students take this course to succeed in their professional career, we will cover certain topics unrelated to finance or mathematics but important when building a career in the private sector.
These topics will be inserted in the individual lectures to provide contrasting elements and hope to eliminate the zoom fatigue unavoidable in the current e-learning environment.