Important

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

If you are interested in taking this course:

You must have completed STA 2503 (or its equivalent) to be considered for this course.
Email me your CV and transcript, with a short description about yourself, and why you wish to take the course.
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).

Location

TBA

Class Notes / Lectures

Outline:

TBA…

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:

http://www.utoronto.ca/academicintegrity/index.html