APM 466 / MAT 1856

News: The course teaching assistant will hold office hours on Monday March 1, from 1:30 to 2:30, at room 205, 1 Spadina Crescent.

Course outline

Assignment 1: due Feb 10, 2010.

Government of canada bond price data can be found on a daily basis here

You can pick up the lecture notes below:

    Interest rates

    Fixed Income mathematics

    Asset pricing

    Option Pricing 

    Swing Options

    Risk Measures

    Value-at-Risk

    Credit Risk

    Risk Management Exercises

    Investment Risk Management - Hedge Funds

Useful links:

    Online Binomial Tree Calculator by Peter Hoadley

    DerivaGem  Calculator by J. Hull 

 

Past Exams: 2004 final exam can be downloaded here