# MMF1928H / STA 2503F - Pricing Theory I / Applied Probability for Mathematical Finance

University of Toronto, , Prof. S. Jaimungal

Updated On 02 Feb, 19

University of Toronto, , Prof. S. Jaimungal

Updated On 02 Feb, 19

Contents:

Binomial Model; No Arbitrage; Numeraires; Replication - Multi-period binomial model; CRR trees; continuous time limit; default model-Measure change and sample paths; Price Sensitivity; incomplete markets, variance minimizing hedge - Interest Rate Models; IR Calibration; Arrow - Debreu; Discrete Forward Fokker - Planck Equations-IR Trees, continuous time limit, Vasicek model, simultaion, CCIRS

Stochastic Calculus overview - Continuous Time Dynamic Hedging-Solutions of the Black - Scholes PDE; Feynman-Kac; Time-based/Move-based hedging, Delta-Gamma-Vega hedging - More on Feynman-Kac, Measure Changes, Continuous Time Interest Rate Models -Measure Changes and Numeraires, Bond Options-More on numeraire measures, interest rate tree - Foreign Exchange - Credit Derivatives-Commodity Modeling - Regime Switching and Jump Models - More on jump models-Tutorial review and Heston Model - LFM and LSM - more on LFM and LSM

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4.1 ( 11 )

Sam

Sep 12, 2018

Excellent course helped me understand topic that i couldn't while attendinfg my college.

Dembe

March 29, 2019

Great course. Thank you very much.