APM466H1: Mathematical Theory of Finance

Hours: 
36L

Introduction to the basic mathematical techniques in pricing theory and risk management: Stochastic calculus, single-period finance, financial derivatives (tree-approximation and Black-Scholes model for equity derivatives, American derivatives, numerical methods, lattice models for interest-rate derivatives), value at risk, credit risk, portfolio theory.

Prerequisite: 
Corequisite: 
Distribution Requirements: 
Science
Breadth Requirements: 
The Physical and Mathematical Universes (5)