| Advanced Financial Models |
Michael Tehranchi
|
| Michaelmas 2012 |
REVISION CLASS
I have booked MR11 for 12.00-13.00 both Tue 14 and Wed 15 May. I do not have a lecture planned, so the contents of the classes are up to you. In particular, if you would like me to discuss some topic from the lectures or example sheets, it would be helpful to email me in advance.
The official course description
Lecture notes
Here are notes for the course.
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 6 May 2013.