|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 complete set of lecture notes.
The fourth examples class will be this Thu 18 Jan in two sessions 1.30-2.30 in MR14 and 3.30-4.30 in MR11. If you would like your work to problems 2 and 7 marked, please put it in pigeonhole by 5pm this Wed 17 Jan. Also, please complete this self-assessment form to bring to the 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 15 Jan 2018.