STA 4246 – Research Topics in Mathematical Finance


This course has restricted enrollment, please contact me if you are interested in taking the course.

If you are interested in taking this course:

  1. You must have completed STA 2503 (or its equivalent) to be considered for this course.
  2. Email me your CV and transcript, with a short description about yourself, and why you wish to take the course.
  3. If I give you permission, please fill out the SGS add/drop form, have your graduate chair sign it, print the email with permission, and bring it to the Statistical Sciences main office (SS6018).



Class Notes / Lectures



This course features advanced topics in mathematical finance. I will hold biweekly lectures, together with assigned readings, as well, students must complete a literature review on a topic of their choice (to be approved by the instructor), complete a thorough report on 1 or 2 papers which they extend slightly, and make a presentation on the research topic. The main purpose of this course is to expose students to topics that are of current research interest, and allow students to make an initial exploration of what could form the initial stages of their thesis work.

Stochastic Calculus of Jump Models

  • Poisson processes
  • Poisson Random Measures
  • Doubly stochastic Poisson processes
  • Measure Changes

Interest Rate Models

  • Forward Rate Models
  • LIBOR Market Models
  • Pricing Kernel Approach

Credit Risk

  • Risky Bonds
  • Credit Default Swaps
  • Credit valuation adjustment (CVA)
  • Hazard rate and structural models

Stochastic Control

  • Control of diffusions and jumps
  • Dynamic programming principle
  • Dynamic programming equations

Forward-Backward SDEs

  • FBSDEs existence and uniqueness
  • Connection to stochastic control

Mean-Field Games

  • Nash equilibrium for MFGs
  • \epsilon-Nash equilibrium

Grading Scheme:

Item Frequency Grade
Report End of Term 50%
Presentation End of Term 50%


Academic Code of Conduct

Below is a link to the academic code of conduct at the University of Toronto: