APM 466 / MAT 1856
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 does not have a textbook; all material
required to know is contained in the lecture notes below.
The TA for this course is Amanda Cui Cui Luo, and can be reached at cui.luo@mmf.utoronto.ca
New: The class for Wednesday Jan 25 has been rescheduled for
Friday Jan 27, from 2 to 5 pm, at GB221.
Important note: There is a student in this class who
requires a volunteer notetaker as an accommodation
for a disability. By signing up and posting your notes, you can make a
significant difference for this individualÕs capacity to fully participate in
this course. Go to: http://www.studentlife.utoronto.ca/accessibility/pcourselist.aspx
or come in person to Accessibility Services 215 Huron St. Suite 939.
For assignment 1, students will need to
access Canadian bond price data, which can be obtained in the link below:
Assignment tips:
-
You need to solve for the 1, 2, 3, 4 and 5
year rates. In other words, the yield curve should be written in terms
of this rates only, interpolating linearly between
these rates; you can also assume the curve to be constant for rates less than
one year.
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Many bonds can be used to solve for the curve; different
choice of bonds will give rise to different curves; you just need to make sure
that your curve is consistent with the bonds you choose; hence, you need to
explain which bonds you decided to use for your assignment.
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The assignment must have the form of a written essay: use
your knowledge of the English language to write a coherent explanation of what
you did, your steps, your sources of information, etc. Of course, you should
also attach the charts and other deliverables of the assignment to your write
up.
Assignment 1. Due Feb 8, 2012.
You can pick up the lecture notes below:
Investment
Risk Management - Hedge Funds
Past tests