Previous LGS courses

Previous LGS courses

MF0 Stochastic integrals: an introduction to the Itō calculus 
MF1 Information and finance: filtration modelling, stochastics filtering and asset pricing
MF2 Computational finance
MF3 Time Changes in Asset Price and Volatility Modelling
MF4 Portfolio optimisation (Albina Danilova) 
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
MF23 Advanced Probability Theory
MF24 Markov Processes: Characterization and Convergence
MF26 Local Martingales and the Martingale Properties
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