COURSE ANNOUNCEMENT:
PROBABILITY THEORY AND MODERN FINANCE:
A PROFESSIONAL INTRODUCTION
http://www.fields.utoronto.ca/finance_course.html
Course to be given at The Fields Institute:
222 College Street, Toronto, October 18-19, 2000
The Fields Institute is an internationally renown
mathematical research facility, located in the heart of the
business community in Toronto, Canada. The Fields Institute
offers unique courses, seminars, and other activities in
pure and applied mathematics, statistics, computer science,
and at the interface of mathematics with a broad spectrum of
other disciplines including engineering, mathematical
biology, theoretical physics, economics and mathematical
finance, telecommunications, and medicine.
INSTRUCTORS:
Prof. Thomas S. Salisbury, Dept. of Math. & Stats., York
University
Prof. Moshe Arye Milevsky, Schulich School of Business, York
University
COURSE DESCRIPTION:
This course introduces the basic mathematical techniques of
modern probability theory and puts into perspective their
applications to financial engineering. It is meant as an
introductory course, aimed at practitioners, without
requiring extensive background preparation.
Specific topics to be covered include:
- Stochastic Processes, Probability Measures, Sigma Fields,
Brownian Motion, Conditional Expectations, Markov Processes,
Martingales, Poisson Processes.
- Stochastic Differential Equations, Stochastic Integrals,
Ito's Formula, Semi-Martingales, Diffusions, Generators,
Geometric Brownian Motion, Representation Theorems.
- Financial Mathematics, Volatility, Drift, Arbitrage,
Efficient Markets Hypothesis, Self-financing Portfolios,
Monte Carlo Simulations, Forwards, Futures and Options
- Risk Neutral Valuation, Binomial Models, Stopping Times,
American Options, Exotics, Girsanov's Theorem, Equivalent
Martingale Measures, State-price Density, Stochastic
Discount Factors, Complete and Incomplete Markets.
- Interest Rate Models, Ornstein-Uhlenbeck Processes,
Brownian Bridge, Feynman-Kac formula, Vasicek CIR and HJM
Models.
- Case Study: Valuation and Analysis of Death-protected
Mutual Funds (Variable Annuities) and Segregated Funds
with Maturity Guarantees. What are the risks and how can
they be hedged? Actuarial and Statistical Pricing vs.
No Arbitrage Models: Can they be reconciled?
NOTE: The course has been approved as eligible for 12 units
of Society of Actuaries PD credit.
APPLICATION PROCEDURE:
All registered participants will receive detailed lecture
notes as well as pre-reading material. For details, pricing
and other information, consult the webpage listed above, or
contact:
CONTACT: Alison Conway
MITACS/ The Fields Institute
Tel: (416) 348-9710 *ext 3026
Email: MAILTO:[log in to unmask]
--
_____________________________________________________
Dr. Giulia Iori
(Lecturer in Mathematical Finance)
Department of Mathematics
King's College, London
Strand, London WC2R 2LS
Telephone: (44) 020 7848-
Fax: (44) 020 7848-2017
Email: [log in to unmask]
URL: //pc173.mth.kcl.ac.uk/~giulia
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