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Originally Posted by §eraphim do u mind sending me all the stuff u have by email on the option pricing and interest rate modelling courses? i'd like to learn more about these courses before i enrol in them.
also, is there a large computing component? Is MATLAB used in the assignments?
my email is hongjiren2000 AT yahoo DOT com |
Hehe I am afraid Peter hands out everything in paper form only, no electronic material at all. Perhaps I can scan the content pages of his lecture notes for you if you want. There is a pretty detailed course description on the usyd maths website if I remember correctly.
The "ideal" preparation for these honours courses is the following:
1. Some knowledge of the binomial model and introductory Black Scholes;
2. A PDE course which hopefully talks a bit about Green's Functions;
3. A course on measure theory would be helpful in understanding martingales;
4. A course on stochastic processes, a touch on stochastic DE's would be great but not essential.
Note that "ideal" is the keyword here. I only did the 1st point above before I took the course, and I seemed to have coped fine. There was no Matlab when I did the course, but Peter tends to update his syllabus quite regularly, putting in new stuff every now and then. So Matlab could well be in there. Due to the 4cp->6cp changes in 2006, he's going to put some of the 4th year stuff into 3rd year, so I suspect the course will be a bit tougher in 2007.
Hehe the fancy all-in-one pricing formula was cooked up by Peter and one of his honours students a few years ago. I once thought they might get a Nobel Prize for that
Somehow they couldn't get it published, which is exactly what happened to Black and Scholes's paper. Apparently some of the banks are using it though, it's pretty efficient on computers. It's hell of a mess doing it by hand
