Mathematical Finance @

Mathematics & StatisticsMathematics & Statistics

Anatoliy Swishchuk

Department of

Mathematics & Statistics

September 5th, 2013

What is Mathematical Finance?

• Mathematical finance (also known as

financial mathematics) is a field of applied

mathematics, concerned with financial

marketsmarkets

• In terms of practice, mathematical finance

also overlaps with the field of computational

or quantitative finance (also known as

financial engineering)

Quantitative Finance

• 1986: birth of quantitative finance (US

investment banks moved to London)

• Rocket Scientists become proprietary traders• Rocket Scientists become proprietary traders

• Birth of Quants: experts in the use of

mathematics and related subjects, particularly

in investment management and stock trading

New Generation: Quants

Math Finance Courses @ Our

Department

• Training in Math Finance

• Training in Computational Finance

• Solid Background to become: Quant, • Solid Background to become: Quant,

quantitative analyst, financial engineer…

• These professions are very demanded these

days

Undergrad Courses in Math Finance

• Amat 481 Introduction to Mathematical

Finance

• Amat 581/681 Stochastic Calculus for Finance• Amat 581/681 Stochastic Calculus for Finance

• Amat 583/683 Computational Methods in

Finance

Prerequisites for Undergrad Courses

in Math Finance

• Amat 481 Introduction to Mathematical

Finance

• Prerequisite: Math 321 (Math Stat)

Prerequisites for Undergrad Courses

in Math Finance

• Amat 581/681 Stochastic Calculus for Finance

• Prerequisite: Amat 481

Prerequisites for Undergrad Courses

in Math Finance

• Amat 583/683 Computational Methods in

Finance

• Prerequisite: Amat 481 & Amat 491

(Numerical Analysis 1)

Grad Courses in Math Finance

• MATH 6SP/5SP ‘Stochastic Processes’

• Prerequisite: MATH 321 ‘Mathematical • Prerequisite: MATH 321 ‘Mathematical

Statistics’

Grad Courses in Math Finance

• Amat 601.20 Introduction to Levy Processes

with Applications in Finance

• Amat 601.20 Monte Carlo Methods in Finance

• Prerequisites: Consent of the Applied Math

Division

Mathematical & Computational

Finance Laboratory

• Around 20 grad students (MSc & PD) are

trained now in the Lab to be prepared to work

in financial and energy industries

• Internships through the Lab • Internships through the Lab

• People:

Profs.: Elliott R., Sick G., Ware T., Badescu A.,

Sezer D., Swishchuk A.

Financial Seminar ‘Lunch at the Lab’

• Usually on Wednesday at 12pm

• Grad students’ research presentations

• Faculty (math finance) presentations

• Books’ reviews• Books’ reviews

• Research papers’ reviews

• Industry’s guests presentations

• Visitors from many Universities around the world

• This Semester-Thematic Seminar: ‘Weather Derivatives’

Our Industrial Partners

• Mprime/MITACS- builds bridges between

academics & industry

• PRMIA (Professional Risk Managers’

International Association)International Association)

• EnCana

• DirectEnergy

• Nexen

• National Bank of Canada

Our Industrial Partners (cont’d)

• TransAlta

• SAS Advisory

• Markit

• Dreyfus Energy• Dreyfus Energy

• Auspice Capital

• To name a few….

International Collaborations

• Germany

• France

• Italy

• UK• UK

• Australia

• Example: agreement on students exchange

between our Lab and Elite Finance program of

TUM, Munich, and Augsburg U, Germany

Selected Events Organized by Our

Math Finance Lab

• TMAC/PRMIA Student Event (Sept 20, 2006)

• U of C/PRMIA Grad Students Research

Presentations (2007, 2012)Presentations (2007, 2012)

• Job Fair Event (2010)-around 50 students

attended

Our Lab’s Alumni

• Work in many Universities in Canada, USA,

and Europe

• Work in many companies, including the

following in Calgary: following in Calgary:

DirectEnergy, NBC, Dreyfus Energy, Auspice

Capital, TransAlta, Nexen

to name a few

Who to Blame for Financial Crisis?

Who to Blame for Financial Crisis?

Our Website & E-mail

• http://finance.math.ucalgary.ca/index.html

• Our E-mail: finlab@math.ucalgary.ca

• Contact Faculty: Anatoliy Swishchuk & Tony Ware

Welcome to Our Math Finance

Program!

Thank You for Your Attention & Time!