APM 466 / MAT 1856

 

 

 

 

Following the “teaching by other means” directive issued by the University of Toronto on March 13, class on Monday will be done on line; you can access it using the following instructions

 

Text Box: Join Zoom Meeting
https://zoom.us/j/5969332270

Meeting ID: 596 933 2270

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+16475580588,,5969332270# Canada

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+1 647 558 0588 Canada
+1 646 558 8656 US (New York)
+1 669 900 9128 US (San Jose)
Meeting ID: 596 933 2270
Find your local number: https://zoom.us/u/adf0TpMIjA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This 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. 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.

 

The TA for this course is Jonathan Mostovoy, who can be reached at mostovoy@math.toronto.edu

 

He will hold office hours TBD in BA7256.

 

Course outline

 

The course has a facebook page linked to the email address

 

apm466@gmail.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. 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.

 

Default Line

 

For assignment 1, students will need to access Canadian bond price data, which can be obtained in the link below:

 

Links to Canadian Bond Prices

 

 

Assignment 2

 

You can download the lecture notes below:

 

Time is Money

Fixed Income mathematics

Asset pricing

Option Pricing 

Swing Options

Risk Measures

Value-at-Risk

Investment Risk Management - Hedge Funds    (enter seco@TUM to view)

Credit Risk

Communications

 

Past tests

 

Midterm 1, 2010.

Midterm 1, 2012.

Exam, 2003