|Advanced Financial Models||
Mon, Wed, Fri at 10am in MR4
The official course description
The Faculty Board requires Part III lecturers to announce the wording of the rubric for the exam. Here it is: Attempt no more than FOUR questions. There are SIX questions in total. The questions carry equal weight.
The lecture notes up to lecture 21.
The third examples class will be 27 Nov in MR21 at 2-3pm and again at 3-4pm. If you would like your work to problems 2 and 8 marked, please it in my pigeonhole by Friday 5pm. Also, please fill in the assessment form to hand in at the examples class.
Here is a (very incomplete) list of textbooks on financial mathematics. Nearly every topic in Advanced Financial Models is also discussed in at least one of these books.
Several of the books above (and the AFM lecture notes) contain introductions to stochastic calculus applied to finance. Those interested in learning more stochastic calculus and its applications to science, engineering, and other branches of mathematics are encouraged to attend the Stochastic Calculus Part III course in Lent term. Here are some classic books:
Finally, here are some books on probability theory at the level encountered in this course.
The probability seminar.
The finance workshop.
Advice for PhD applicants in financial mathematics in Cambridge.
For those interested in employment in a bank or hedge fund, here is a list of people to contact.
Last updated 24 Nov 2017.