RMSC4003 Statistical Modelling in Financial Markets (26/27 Fall)
Course Description
This course is designed to introduce the current developments in risk management in the financial markets. Risk management ideas associated with three general important areas in finance will be discussed: asset management, derivative pricing and fixed income models. Emphasis will be placed on the statistical modelling aspects on some of the commonly used models in these areas.
Tutorial Information
- Time: 14:30 - 15:15
- Venue: YIA LT3
- Tutor's Office Hour: By appointment, preferably on Mondays and Tuesdays
- The first part of the tutorials is held by Pascal Sun
Tutorial Notes
Tutorial 5: Description of the Market [Notes]
Tutorial 6: Binomial Models: From Discrete to Continuous Time [Notes]
Tutorial 7: Brownian Motion [Notes]
Tutorial 8: Stochastic Integrals, Stochastic Differential Equations, Ito’s Lemma [Notes]
Tutorial 9: Stochastic Calculus, Final Revision [Notes]
Miscellanea & Extra Material
(For Your Interest ONLY; Not Required for this Course)
Tutorial 9a: Supplementary Material [Notes]
If you are interested in the second part of this course (i.e., stochastic calculus), you may consider taking RMSC4005 next semester. This course and RMSC4006 offers in alternative years, so please do not miss perhaps the only chance for you to take this course.
You may also read a classic textbook by Tomas Björk, Arbitrage Theory in Continuous Time. This textbook introduces basic financial mathematics techniques from the very beginning to advanced topics by portfolios with complicated derivatives using measure theory. The textbook can be accessed from CUHK Library Here.