| In-house
training is available for interested companies,
ranging from seminar series to one- or two-day workshops. We can
provide training in the mathematics and computational skills required
to operate effectively in today's increasingly sophisticated markets.
Taught courses. We operate a range of courses
specifically in
mathematical finance, including some new courses at the undergraduate
level, which form part of our `concentration in mathematical and
computational finance'.
- Introduction
to mathematical finance - AMAT 481: introduction to financial
markets and derivatives, asse price random walks, Black-Scholes pricing
model, American options and other generalizations, interest rates models
- Introduction
to computational finance - AMAT 483: simulation methods,
binomial/trinomial trees, finite difference and finite element methods
for option pricing.
- Advanced
topics in mathematical finance - AMAT 601.14: here we take a tour
through some of the major advances in mathematical finance over the
last century, working from the original papers.
- Advanced
Futures and Options-AMAT 581: Stochastic
calculus and the dynamics of asset prices; martingale theory and
risk-neutral valuations; stochastic interest rates models; energy and
commodity markets, models and derivatives; value-at-risk and risk
management
- Introduction
to Levy Processes with
Applications:
Infinite divisibility, Levy
processes (LP), the
Levy-Khintchine formula; examples of LP; Poisson integration, the
Levy-Ito
decomposition, subordinators; Markov processes, semi-groups and
generators of
LP; Ito-formula for LP, quadratic variation; LP as time-changed
Brownian
motion, change of measure (Girsanov theorem); stochastic differential
equations
driven by LP; Feynman-Kac formula and martingale problem for LP;
applications
of LP in finance; simulation of LPs
Graduate students. We offer thesis-based Masters
and
Ph.D. programmes in mathematical and computational finance. Interested
students should contact us.
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