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Financial Modelling
2555A/B -
Corporate Finance
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Goal and governance of firms, bond and stock pricing, risk and return, portfolio theory, Capital Asset Pricing Model, capital budgeting, market efficiency, corporate financing.
Antirequisite(s):
The former Actuarial Science 2555A/B.
Prerequisite(s):
Corequisite(s):
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Financial Modelling
2557A/B -
Financial Markets and Investments
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Basic securities, financial market conventions, swaps, arbitrage pricing and hedging of forwards/futures, equity options, bonds, theories of the term structure, factors affecting option prices, arbitrage relations of calls and puts, trading strategies involving options, binomial model for stock prices, option pricing by replication under the binomial model.
Antirequisite(s):
The former Actuarial Science 2557A/B.
Corequisite(s):
Pre-or Corequisite(s):
Extra Information:
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Financial Modelling
3520A/B -
Financial Modelling I
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Discrete-time market models, option pricing and replication, risk-neutral valuation and martingale measures, and the fundamentaltheorem of asset pricing. Discrete-time Black-Scholes. Value-at-risk, mean-variance portfolio analysis, capital asset pricing model. Discrete-time interest rate models. Duration, convexity and immunization. Simulation.
Antirequisite(s):
The former Statistical Sciences 3520A/B.
Corequisite(s):
Pre-or Corequisite(s):
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Financial Modelling
3613A/B -
Mathematics of Financial Options
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An introduction to modern financial mathematics using a differential equations approach. Stochastic differential equations and their related partial differential equations. The Fokker-Planck and Kolmogorov PDEs. No-arbitrage pricing, the Black-Scholes equation and its solutions. American options. Exotic options.
Antirequisite(s):
The former Applied Mathematics 3613A/B.
Corequisite(s):
Pre-or Corequisite(s):
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Financial Modelling
3817A/B -
Optimization Methods for Financial Modelling
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An introduction to linear programming, simplex method, duality theory and sensitivity analysis, formulating linear programming models, nonlinear optimization, unconstrained and constrained optimization, quadratic programming. Applications.
Antirequisite(s):
The former Applied Mathematics 3817A/B.
Corequisite(s):
Pre-or Corequisite(s):
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Financial Modelling
4521F/G -
Advanced Financial Modelling
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Continuous-time models, Brownian motion, stochastic integrals, Ito's lemma. Black-Scholes-Merton market model, arbitrage and market completeness, Black-Scholes PDE, risk-neutral pricing and martingale measures. Greeks and hedging, extensions of Black-Scholes model, implied volatility, American option valuation. Vasicek and Cox-Ingersoll-Ross interest rate models.
Antirequisite(s):
The former Statistical Sciences 4521F/G.
Corequisite(s):
Pre-or Corequisite(s):
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Financial Modelling
4998F/G/Z -
Project in Financial Modelling
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The student will work on a project under faculty supervision. The project may involve an extension, or more detailed coverage, of material presented in other courses. Credit for the course will involve a written report as well as an oral presentation.
Prerequisite(s):
Registration in the fourth year of the Honors Specialization in Actuarial Science, Statistics, or Financial Modelling. Students must have a modular course average of at least 80% and must find a faculty member to supervise the project.
Corequisite(s):
Pre-or Corequisite(s):
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UNDERGRADUATE COURSE INFORMATION 