Courses offered in Jan-Mar 2018

Courses offered 
in Jan-Mar 2018
MF24 Markov Processes

Lecturer: Dr. Umut Cetin, LSE
Time and dates: TBC
Location: TBC

Prerequisites: 
TBC

Course summary:
TBC

Indicative reading:
TBC
MF12 Incomplete Markets

Lecturer: Dr. Teemu Pennanen, King's College
Time and dates: TBC
Location: TBC

Objectives: 
This module aims to give students an understanding of the main issues in the valuation and hedging of financial products in incomplete markets and to give them an introduction to convex analysis relevant in mathematical analysis of such problems.

Course summary:
Optimal investment and valuation of contingent claims in incomplete financial markets with transaction costs, illiquidity effects and portfolio constraints. Basic properties of convex sets and functions. Convex duality, martingale measures, state-price densities and model calibration will also be discussed.
MF25 Commodities Derivatives

Lecturer: Dr. Helyette Geman, Birkbeck
Time and dates: TBC
Location: TBC

Prerequisites: 
TBC

Course summary:
TBC

Indicative reading:
TBC
MF24 Portfolio Optimisation (unconfirmed)

Lecturer: Dr. Albina Danilova, LSE
Time and dates: TBC
Location: TBC

Prerequisites: 
TBC

Course summary:
TBC

Indicative reading:
TBC
Share by: