This unit provides students with an introduction to quantitative models and techniques in finance. Topics covered include basic stochastic calculus, probability measures and the role of numeraires, Black-Scholes and Hull-White models, and the theoretical and numerical techniques for valuing derivatives. There is a focus on both the intuitive and mathematical understanding of these topics, as well as their application to problems in quantitative finance.
1x 3hr seminar per week
assignment (20%), mid-semester exam (30%), final exam (50%)
This unit requires students to have some background in calculus, matrices, statistics and probability.