APM 466 / MAT 1856

 

 

Note: the Office Hours scheduled for Friday at 2pm on March 30 (UofT will be closed to observe Good Friday) will be held on Thursday at the same time.

 

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 Julio Hernandez Bellon, who can be reached at julio.hernandezbellon@mail.utoronto.ca

 

He will hold officer hours on Fridays from 2 to 3 pm, 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.

 

---

 

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

 

 

 

---

 

You can download Assignment 2 here.

 

---

 

You can download the lecture notes below:

 

Time is Money

Fixed Income mathematics

Asset pricing

Option Pricing 

Swing Options

Risk Measures

Value-at-Risk

Risk Management Exercises

Investment Risk Management - Hedge Funds

Credit risk part 1, Credit Risk part 2, Credit Risk part 3.

 

Past tests

 

Midterm 1, 2010.

Midterm 1, 2012.

Exam, 2003