London Mathematical Finance Group
London Mathematical Finance Group 

test Previous LGS courses

MF1 Information and finance: filtration modelling, stochastics filtering and asset pricing

MF2 Computational finance

MF5 Interest rates

MF6 Counterparty risk, collateral and funing across asset classes with arbitrage-free dynamical models

MF7 Risk and Insurance

MF8 SDE, optimal stopping and quickest detection problems with applications to finance and control (guest lectures)

MF9 Introduction to Markov processes and their applications

MF10 High frequency statistics for financial data

MF11 Functional Itō calculus and Path-dependent Kolmogorov Equations

MF12 Convex optimisation and illiquid markets

MF13 Lévy processes and applications in finance

MF14 Quadratic hedging and its applications

MF15 Introduction to Malliavin calculus

MF16 Advanced topics of mathematical finance: Monetary utility functions and risk measures (guest lectures)

MF17 Nonlinear valuation under credit gap risk, initial and variation margins and funding costs

MF18 Forward-Backward SDEs and applications

MF19 Backward stochastic differential equations: theory and applications in mathematical finance (guest lectures)

MF20 Quantitative modelling for operational risk and insurance analysis

MF21 A unified approach to quadrature pricing in equity derivatives models: theory and practice

MF22 Empirical market microstructure

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London Mathematical Finance Group: 2016-17