The Fall Session.

click each course for further detail
Jason Pilling
5 lectures
This course gives the students an overview of the financial services industry, including investment banks, trading operations, and asset management firms. Students learn the fundamental "real-world" facts about how such firms operate and make profits, and what opportunities are open within them to quantitatively skilled individuals. The approach will be practical rather than theoretical, with extensive use of visiting lectures and off-campus activities. Pass/fail grading.
Dr. Ian Buckley
4 lectures
Introduction to MatLab, C, C++, Excel/VBA/VB. Pass/fail grading.
Dr. Alan Peng
4 lectures
This short course studies the basic properties of equities, fixed-income, and standard derivatives instruments. The market characteristics of the more popular financial instruments are investigated in depth and their use for structuring deals investigated. The topics include: equities and risk-reward analysis, normal versus log-normal distributions, bonds and bond pricing, short rates, forward rates, and spot rates, futures and forward contracts, interest rate swaps, interest rate caps/floors, European puts/call and static hedging and speculation, credit default swaps, collateralized debt, mortgage and bond obligations. Pass/fail grading.
Prof. Tom McCurdy
7 lectures
The course objectives include practicing decision making under uncertainty using the RIT 2.0 platform and a sequence of RIT cases which simulate the risks and opportunities associated with particular securities or strategies. Linked in real time to Excel to apply the relevant theory, participants can derive and explore the implications of alternative strategies. The RIT cases sequence from introductory (generally 1 source of risk) to richer cases for which the decision maker has to manage several risks. This training is analogous to using a flight simulator to master safe and effective decisions in a complex environment. Participants are required to apply their strategies to real-time quotes for actual securities on the Rotman Portfolio Manager (RPM) platform. This facilitates learning about institutional details and reinforces the learning objectives of the RIT cases.
Prof. Andrey Feuerverger
8 lectures
MatLab (S-Plus) statistical and graphical computing environment; review of basic statistics including covariance matrices and mean-variance optimal portfolios, mutlivariate normal distributions, maximum likelihood estimation, and likelihood ratio tests; Monte Carlo simulation; regression and econometric considerations; Principal Components and Factor Analysis; Time Series modelling and stochastic volatility (ARCH/GARCH); Value-at-Risk; MatLab Portfolios. Letter grading.
Prof. Sebastian Jaimungal
12 lectures
This course features basic and intermediate topics in derivative pricing theory. A working knowledge of basic probability theory, stochastic calculus, knowledge of ordinary and partial differential equations and familiarity with the basic financial instruments is assumed. The topics covered in this course include, but are not limited to: fixed income products; forwards and futures; binomial pricing model; the Black-Scholes model; the Greeks and hedging; European, American, Asian, barrier and other path-dependent options; short rate models and interest rate derivatives; convertible bonds. Letter grading.
Dr. Alex Kreinin
12 lectures
Introduction to stochastic calculus in finance; probability measures, random variables, conditional expectation; stochastic processes in discrete and continuous time: random walk, Poisson and compound Poisson process, Brownian motion, Brownian bridge; martingales, Markov property, stopping/hitting times and their distributions; stochastic calculus: stochastic integrals, Itô's lemma; diffusions, solving stochastic differential equations and their properties; Feynman-Kac, Cameron-Martin-Girsanov and martingale representation theorems in pricing and risk-neutral valuation for the Black-Scholes setting and general continuous models; continuum limits of discrete time models; diffusions under time change; change of numéraire. Letter grading.
Prof. Luis Seco
This course extends over the entire length of the program.
Career Centre seminars including interviewing techniques and c.v. preparation, technical visual presentation techniques and written report preparation. Assignments throughout the year are integrated with assignments in other courses and the internship program; students critically review the written and oral presentations of other students. (Continued in the summer term.) Letter grading.
Dr. Alex Kreinin
4 lectures
An introduction to jump processes in finance with a focus on jump diffusion models and Brownian subordination; stochastic calculus for jump processes: stochastic integrals, Ito's formula and change of measure; simulation; modelling financial time series; pricing and hedging in incomplete markets. Letter grading.
Prof. Tom McCurdy
5 lectures
This course begins with a review of the basics concerning estimating and forecasting the distribution of returns. In particular, we will consider various time-series models that have been proposed to forecast the dynamics of volatility, asymmetry and fat tails associated with a return distribution. In order to assess whether or not we have good forecasts, we need to measure the target accurately. For example, we will review power variation measures of realized (ex post) volatility which will be used to assess alternative forecasting models. Finally, we will extend the basic model to include mixtures of components, including jumps, and explore an application to forecasting time-varying risk and expected return.
Prof. Kenneth Jackson
10 lectures
Monte Carlo methods: randomness and pseudo random numbers, Gaussian distributions; simulating continuous-time processes; option pricing by simulation; variance reduction, antithetic sampling, control variates; quasi random sequences, Brownian bridge methods; PDEs and finite differencing; Green's functions' space discretization; time discretization; free boundary problems; solution methods for American options; mutli-asset problems and exotic options. Letter grading.

Prof. Luis Seco and Prof. Dash Wu are Co-chairing the IEEE SC ARTC and IEEE SMC LISS sponsored conferences:
  • 2018 International Conference on Logistics, Informatics and Services Sciences (LISS’2018) and the 2018 Industrial Economics System and Industrial Security Engineering (IEIS’2018)

More information to follow.