Advanced Financial Models 
Michael Tehranchi

Michaelmas 2017 
Mon, Wed, Fri at 10am in MR4
The official course description
Lecture notes
The lecture notes up to lecture 6.
Examples classes
The first examples class will be in two sessions: 23pm in MR13 and 45pm in MR14. I have sent an email to all those who completed the doodle assigning you to one of the sessions. The faculty asks that there be between 6 and 12 student per session, so please attend the session listed in the email if possible.
If you are in Part III maths and would like your work to problems 1 and 4 marked, please put it in my pigeonhole (facing the entrance to the CMS) by 5pm Friday. I will post my solutions that evening.
Please also fill out this selfassessment form to hand in next Monday afternoon. Thanks.
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:
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 19 Oct 2017.