Financial Mathematics (FIM)
FIM - Financial Mathematics Courses
The course covers (i) structure and operation of derivative markets, (ii) valuation of derivatives, (iii) hedging of derivatives, and (iv) applications of derivatives in areas of risk management and financial engineering. Models and pricing techniques include Black-Scholes model, binomial trees, Monte-Carlo simulation. Specific topics include simple no-arbitrage pricing relations for futures/forward contracts; put-call parity relationship; delta, gamma, and vega hedging; implied volatility and statistical properties; dynamic hedging strategies; interest-rate risk, pricing of fixed-income product; credit risk, pricing of defaultable securities.
Monte Carlo (MC) methods for accurate option pricing, hedging and risk management. Modeling using stochastic asset models (e.g. geometric Brownian motion) and parameter estimation. Stochastic models, including use of random number generators, random paths and discretization methods (e.g. Euler-Maruyama method), and variance reduction. Implementation using Matlab. Incorporation of the latest developments regarding MC methods and their uses in Finance.
This course focuses on mathematical methods to analyze and manage risks associated with financial derivatives. Topics covered include aggregate loss distributions, extreme value theory, default probabilities, Value-at-Risk and expected shortfall, coherent risk measures, correlation and copula, applications of principle component analysis and Monte Carlo simulations in financial risk management, how to use stochastic differential equations to price financial risk derivatives, and how to back-test and stress-test models.
FIM 590 Special Topics in FIM 1-6.
Special Topics in FIM.
FIM 601 Seminar in Financial Mathematics 1-3.
Seminar in Financial Mathematics.
FIM 610 Special Topics in Financial Mathematics 1-6.
Special Topics in Financial Mathematics.
FIM 620 Special Problems in FIM 1-6.
Special Problems in FIM.
FIM 688 Non-Thesis Masters Continuous Registration - Half Time Registration 1.
Non-Thesis Masters Continuous Registration - Half Time Registration.
FIM 689 Non-Thesis Masters Continuous Registration - Full Time Registration 3.
Non-Thesis Masters Continuous Registration - Full Time Registration.
FIM 693 Master's Supervised Research 1-9.
Master's Supervised Research.