Upload
others
View
13
Download
0
Embed Size (px)
Citation preview
Mathematical Finance @
Mathematics & StatisticsMathematics & Statistics
Anatoliy Swishchuk
Department of
Mathematics & Statistics
September 5th, 2013
What is Mathematical Finance?
• Mathematical finance (also known as
financial mathematics) is a field of applied
mathematics, concerned with financial
marketsmarkets
• In terms of practice, mathematical finance
also overlaps with the field of computational
or quantitative finance (also known as
financial engineering)
Quantitative Finance
• 1986: birth of quantitative finance (US
investment banks moved to London)
• Rocket Scientists become proprietary traders• Rocket Scientists become proprietary traders
• Birth of Quants: experts in the use of
mathematics and related subjects, particularly
in investment management and stock trading
New Generation: Quants
Math Finance Courses @ Our
Department
• Training in Math Finance
• Training in Computational Finance
• Solid Background to become: Quant, • Solid Background to become: Quant,
quantitative analyst, financial engineer…
• These professions are very demanded these
days
Undergrad Courses in Math Finance
• Amat 481 Introduction to Mathematical
Finance
• Amat 581/681 Stochastic Calculus for Finance• Amat 581/681 Stochastic Calculus for Finance
• Amat 583/683 Computational Methods in
Finance
Prerequisites for Undergrad Courses
in Math Finance
• Amat 481 Introduction to Mathematical
Finance
• Prerequisite: Math 321 (Math Stat)
Prerequisites for Undergrad Courses
in Math Finance
• Amat 581/681 Stochastic Calculus for Finance
• Prerequisite: Amat 481
Prerequisites for Undergrad Courses
in Math Finance
• Amat 583/683 Computational Methods in
Finance
• Prerequisite: Amat 481 & Amat 491
(Numerical Analysis 1)
Grad Courses in Math Finance
• MATH 6SP/5SP ‘Stochastic Processes’
• Prerequisite: MATH 321 ‘Mathematical • Prerequisite: MATH 321 ‘Mathematical
Statistics’
Grad Courses in Math Finance
• Amat 601.20 Introduction to Levy Processes
with Applications in Finance
• Amat 601.20 Monte Carlo Methods in Finance
• Prerequisites: Consent of the Applied Math
Division
Mathematical & Computational
Finance Laboratory
• Around 20 grad students (MSc & PD) are
trained now in the Lab to be prepared to work
in financial and energy industries
• Internships through the Lab • Internships through the Lab
• People:
Profs.: Elliott R., Sick G., Ware T., Badescu A.,
Sezer D., Swishchuk A.
Financial Seminar ‘Lunch at the Lab’
• Usually on Wednesday at 12pm
• Grad students’ research presentations
• Faculty (math finance) presentations
• Books’ reviews• Books’ reviews
• Research papers’ reviews
• Industry’s guests presentations
• Visitors from many Universities around the world
• This Semester-Thematic Seminar: ‘Weather Derivatives’
Our Industrial Partners
• Mprime/MITACS- builds bridges between
academics & industry
• PRMIA (Professional Risk Managers’
International Association)International Association)
• EnCana
• DirectEnergy
• Nexen
• National Bank of Canada
Our Industrial Partners (cont’d)
• TransAlta
• SAS Advisory
• Markit
• Dreyfus Energy• Dreyfus Energy
• Auspice Capital
• To name a few….
International Collaborations
• Germany
• France
• Italy
• UK• UK
• Australia
• Example: agreement on students exchange
between our Lab and Elite Finance program of
TUM, Munich, and Augsburg U, Germany
Selected Events Organized by Our
Math Finance Lab
• TMAC/PRMIA Student Event (Sept 20, 2006)
• U of C/PRMIA Grad Students Research
Presentations (2007, 2012)Presentations (2007, 2012)
• Job Fair Event (2010)-around 50 students
attended
Our Lab’s Alumni
• Work in many Universities in Canada, USA,
and Europe
• Work in many companies, including the
following in Calgary: following in Calgary:
DirectEnergy, NBC, Dreyfus Energy, Auspice
Capital, TransAlta, Nexen
to name a few
Who to Blame for Financial Crisis?
Who to Blame for Financial Crisis?
Our Website & E-mail
• http://finance.math.ucalgary.ca/index.html
• Our E-mail: [email protected]
• Contact Faculty: Anatoliy Swishchuk & Tony Ware
Welcome to Our Math Finance
Program!
Thank You for Your Attention & Time!