finally... it's my last term of study again.... the past month is okay... schoolwork is busy as usual 'coz i'm taking 4 courses.. haha... i just need 2 more courses to graduate but i'm taking 4 grad courses!!! which is equivalent to 8 undergrad courses!!! LOL... in fact i'm thinking to change 2 of them to audit so workload won't be too heavy~~~ but i'm still considering which 2....

ACTSC 846 - Mathematical Models in Finance

Mathematical techniques used to price and hedge derivative securities in modern finance. Modelling, analysis and computations for financial derivative products, including exotic options and swaps in all asset classes. Applications of derivatives in practice.

Basic optimization: quadratic minimization subject to linear equality constraints; Efficient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns; Practical portfolio optimization: short sales restrictions, target portfolios, transactions costs; Quadratic programming theory; An overview of such algorithms will be presented with computational results from commercial problems.

CS 676 - Numeric Computation For Financial Modelling

Modern finance now requires use of sophisticated computational tools for pricing and hedging derivative contracts, and for optimizing portfolio allocation. In this course, we will study a variety of numerical algorithms for carrying out these tasks, such as Monte Carlo methods, binomial trees, numerical partial differential equations, and constrained optimization. It provides students an overview of modern numerical algorithms for use in financial applications.

ECON 659 - Real Options and Investment Under Uncertainty

This course considers the application of option concepts from finance to valuing real assets and investment opportunities. The focus is on using real options theory and methodology to value investments characterized by uncertainty, irreversibility, and flexibility in the timing of irreversible expenditures. The course begins with an introduction to stochastic processes, Ito's Lemma, the Black‐Scholes equation, contingent claims analysis and dynamic programming. Methods to solve simple option value problems will be presented, such as binomial trees and Monte Carlo simulation.