Advanced Financial Models Michael Tehranchi

Michaelmas 2019

Mon, Wed, Fri at 11am in MR9

The official course description

Lecture notes

Lecture notes. For more details on stochastic calculus, you can see these notes.

Examples classes

Fridays 2 to 3pm in MR14, beginning Fri 25 Oct.

Please email me questions -- from the lectures, example sheets, past exams, etc. -- to discuss.

Example sheets

Supplemental reading

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:

Here are some books on probability theory at the level encountered in this course.

Finally, here is a famous interview with Michel Rocard on the 2008 financial crisis. The take-home quote: Des professeurs de maths enseignent à leurs étudiants comment faire des coups boursiers. Ce qu'ils font relève, sans qu'ils le sachent, du crime contre l'humanité. Maths lecturers teach their students how to beat the markets. What they do is, without knowing it, a crime against humanity.
Interesting links

The probability seminar.

The finance workshop.

Advice for PhD applicants in financial mathematics in Cambridge.

Employment contacts

For those interested in employment in a bank or hedge fund, here is a list of people to contact.

Exam rubric

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.

Last updated 5 Feb 2020.