2025 - Continuous-Time Finance - Lecturer
Graduate course, University of Oxford - Saïd Business School - MSc Financial Economics, 2025
The course
This course provides an introduction to the mathematical tools used in continuous-time models in finance. These models are essential for understanding the complex financial instruments we will explore, ranging from equity options to interest rate derivatives. Continuous-time models are widely employed by trading desks at investment banks and hedge funds to price, hedge, and manage portfolios, in markets where trillions of dollars in derivatives are traded daily.
Former students of this course have gone on to work at hedge funds and investment banks, pursue MSc degrees in Financial Mathematics, or undertake PhD programmes. The course equips you with valuable tools applicable to both industry roles and advanced academic studies.
The course carefully and thoroughly reviews the foundational concepts, but a mathematical background and basic knowledge of probability theory are recommended to fully benefit from the material. Continuous-time models in quantitative finance are both challenging and intellectually rewarding.
Goals
By the end of the course, students gain confidence in applying probabilistic techniques to understand and analyse some of the most widely used continuous-time models in finance. The course begins with an introduction to Option pricing with binomial trees, and to Brownian motions, highlighting why standard calculus techniques are insufficient in this context. This motivates the development of specialised tools known as stochastic calculus. Building on these foundations, we will delve into key applications, including the (Nobel Prize-winning) Black-Scholes model, stochastic volatility models, affine term structure models, and Monte Carlo simulation techniques.
Slides and material
The course slides are here.
Class
22 hours.