S. Jaimungal
Department of Statistics and Mathematical Finance Program, University of Toronto

  Home | Teaching | Research | Seminars | Consulting | Contact |

MMF1928H / STA 2503F –

ARCHIVED NOTES: Pricing Theory I / Applied Probability for Mathematical Finance

ARCHIVED Class Notes / Lectures :

Lecture Topic Class Video Class Notes
1 Binomial Model; No Arbitrage; Numeraires; Replication MMF1928-1.wmv MMF1928-1.pdf
       
2 Multi-period binomial model; CRR trees; continuous time limit; default model MMF1928-2.wmv MMF1928-2.pdf
       
3 Measure change and sample paths; Price Sensitivity; incomplete markets, variance minimizing hedge

MMF1928-3.wmv

MMF1928-3.pdf

       
4 Interest Rate Models; IR Calibration; Arrow-Debreu; Discrete Forward Fokker-Planck Equations

MMF1928-4.wmv

 

MMF1928-4.pdf

 

  Example calibration to bond prices   BondSheet.xls
       
5 IR Trees, continuous time limit, Vasicek model, simultaion, CCIRS MMF1928-5.wmv MMF1928-5.pdf
     
       
6 Stochastic Calculus overview MMF1928-6.wmv MMF1928-6.pdf
  stochastic calculus main results   StochCalc.pdf
       
       
7 Continuous Time Dynamic Hedging MMF1928-7.wmv MMF1928-7.pdf
       
8 Solutions of the Black-Scholes PDE; Feynman-Kac; Time-based/Move-based hedging, Delta-Gamma-Vega hedging MMF1928-8.wmv MMF1928-8.pdf
       
9 More on Feynman-Kac, Measure Changes, Continuous Time Interest Rate Models MMF1928-9.wmv MMF1928-9.pdf
       
10 Measure Changes and Numeraires, Bond Options MMF1952-10.wmv MMF1928-10.pdf
       
11 More on numeraire measures, interest rate tree MMF1928-11.wmv MMF1928-11.pdf
       
12 Foreign Exchange MMF1928-12.wmv MMF1928-12.pdf
13 Credit Derivatives I MMF1952-13.wmv MMF1952-13.pdf
14 Credit Derivatives II MMF1952-14.wmv MMF1952-14.pdf
15 Commodity Modeling MMF1952-15.wmv MMF1952-15.pdf
16 Regime Switching and Jump Models MMF1952-16.wmv MMF1952-16.pdf
17 More on jump models MMF1952-17.wmv MMF1952-17.pdf
18 Tutorial review and Heston Model MMF1952-18.wmv

MMF1952-18.pdf

Tutorial-18.pdf

19 LFM and LSM MMF1952-19.wmv MMF1952-19.pdf
20 more on LFM and LSM MMF1952-20.wmv MMF1952-20.pdf