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<a href="index.html" style="color: black; text-decoration: none;" target="_parent">Nicolas Privault</a>
<br>Division of Mathematical Sciences
<br>School of Physical and Mathematical Sciences
<br>Nanyang Technological University
<br>21 Nanyang Link, Singapore 637371
<br> Tel. +65 6513 7176
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nprivault at ntu.edu.sg
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Research</font></font></a>
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<b>
Markov Chains</b>
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<u>Lecture Notes</u>:
<a href="MH3512/markov_chains.pdf" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
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742 pages
<a href="https://drive.google.com/file/d/1b1CnOAmGV0AoUHLW_U0pD3H4e6oDjsGy/" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
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594 pages.
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<b>Interest Rate Models</b>
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<u>Textbook</u>:
<a href="https://www.worldscientific.com/worldscibooks/10.1142/12000" target="_blank" onmouseover="window.status='<i>(3rd Edition) Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing</i>' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0"><i>Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing</i></font></a>, Third Edition, World Scientific, 2021, 368 pages.
<p>
<p>
中文版: <i>随机利率模型及相关衍生品定价</i>, 南开大学出版社, 2010.
<a href="papers/随机利率模型及相关衍生品定价.pdf" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
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<b>
Notes on Stochastic Finance
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Exotic Options and Structured Products
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(10-13)
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<u>Textbook</u>:
<a href="https://www.routledge.com/Introduction-to-Stochastic-Finance-with-Market-Examples/Privault/p/book/9781032288260" target="_blank" onmouseover="window.status='<i>(2nd Edition) Introduction to Stochastic Finance with Market Examples</i>' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0"><i>Introduction to Stochastic Finance with Market Examples</i></font></a>, Second Edition, Chapman & Hall/CRC, 2022, 662 pages.
</a>
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<br>
<br>
<font face="helvetica,arial,courier">
<b></b><a style="text-decoration: none;" href="MA5182/introduction2.pdf" target="_blank"> Contents and Introduction</a>, i-20.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.routledge.com/Introduction-to-Stochastic-Finance-with-Market-Examples/Privault/p/book/9781032288260" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>1.</b><a style="text-decoration: none;" href="MA5182/assets-portfolios-arbitrage.pdf" target="_blank"> Assets, Portfolios and Arbitrage</a>, 21-52.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-1/assets-portfolios-arbitrage-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>2.</b><a style="text-decoration: none;" href="MA5182/discrete-time-model.pdf" target="_blank"> Discrete-Time Market Model</a>, 53-87.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-2/discrete-time-market-model-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>3.</b>
<a style="text-decoration: none;" href="MA5182/pricing-hedging-discrete-time.pdf" target="_blank"> Pricing and Hedging in Discrete Time</a>, 89-147.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-3/pricing-hedging-discrete-time-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>4.</b><a style="text-decoration: none;" href="MA5182/brownian-motion-stochastic-calculus.pdf" target="_blank"> Brownian Motion and Stochastic Calculus</a>, 149-202.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-4/brownian-motion-stochastic-calculus-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>5.</b><a style="text-decoration: none;" href="MA5182/continuous-time-model.pdf" target="_blank"> Continuous-Time Market Model</a>, 203-229.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-5/continuous-time-market-model-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>6.</b><a style="text-decoration: none;" href="MA5182/black-scholes-pde.pdf" target="_blank"> Black-Scholes Pricing and Hedging</a>, 231-272.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-6/black%E2%80%93scholes-pricing-hedging-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>7.</b><a style="text-decoration: none;" href="MA5182/martingale-pricing-hedging.pdf" target="_blank"> Martingale Approach to Pricing and Hedging</a>, 273-325.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-7/martingale-approach-pricing-hedging-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>8.</b><a style="text-decoration: none;" href="MA5182/stochastic-volatility.pdf" target="_blank"> Stochastic Volatility</a>, 327-360.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-8/stochastic-volatility-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>9.</b><a style="text-decoration: none;" href="MA5182/volatility-estimation.pdf" target="_blank"> Volatility Estimation</a>, 361-388.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-9/volatility-estimation-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>10.</b><a style="text-decoration: none;" href="MA5182/maximum-brownian-motion.pdf" target="_blank"> Maximum of Brownian motion</a>, 389-419.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-10/maximum-brownian-motion-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>11.</b><a style="text-decoration: none;" href="MA5182/barrier-options.pdf" target="_blank"> Barrier Options</a>, 421-451.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-11/barrier-options-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>12.</b><a style="text-decoration: none;" href="MA5182/lookback-options.pdf" target="_blank"> Lookback Options</a>, 453-477.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-12/lookback-options-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>13.</b><a style="text-decoration: none;" href="MA5182/asian-options.pdf" target="_blank"> Asian Options</a>, 479-513.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-13/asian-options-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>14.</b><a style="text-decoration: none;" href="MA5182/optimal-stopping-theorem.pdf" target="_blank"> Optimal Stopping Theorem</a>, 515-535.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-14/optimal-stopping-theorem-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>15.</b><a style="text-decoration: none;" href="MA5182/american-options.pdf" target="_blank"> American Options</a>, 537-572.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-15/american-options-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>16.</b><a style="text-decoration: none;" href="MA5182/change-of-numeraire-forward-measures.pdf" target="_blank"> Change of Numéraire and Forward Measures</a>, 573-608.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-16/change-num%C3%A9raire-forward-measures-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>17.</b><a style="text-decoration: none;" href="MA5182/short-rates-bond-pricing.pdf" target="_blank"> Short Rates and Bond Pricing</a>, 609-653.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-17/short-rates-bond-pricing-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>18.</b><a style="text-decoration: none;" href="MA5182/forward_rates.pdf" target="_blank"> Forward Rates</a>, 655-694.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-18/forward-rates-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>19.</b><a style="text-decoration: none;" href="MA5182/pricing-interest-rate-derivatives.pdf" target="_blank"> Pricing of Interest Rate Derivatives</a>, 695-733.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-19/pricing-interest-rate-derivatives-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>20.</b><a style="text-decoration: none;" href="MA5182/stochastic-calculus-jump-processes.pdf" target="_blank"> Stochastic Calculus for Jump Processes</a>, 735-782.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-20/stochastic-calculus-jump-processes-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>21.</b><a style="text-decoration: none;" href="MA5182/pricing-hedging-jump-models.pdf" target="_blank"> Pricing and Hedging in Jump Models</a>, 783-808.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-21/pricing-hedging-jump-models-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>22.</b><a style="text-decoration: none;" href="MA5182/numerical-methods-finance.pdf" target="_blank"> Basic Numerical Methods</a>, 809-818.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.taylorfrancis.com/chapters/mono/10.1201/9781003298670-22/basic-numerical-methods-nicolas-privault" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
</b><a style="text-decoration: none;" href="MA5182/appendix.pdf" target="_blank">Appendix: Background on Probability Theory</a>, 819-855.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://www.routledge.com/Introduction-to-Stochastic-Finance-with-Market-Examples/Privault/p/book/9781032288260" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
</b><a style="text-decoration: none;" href="https://www.routledge.com/Introduction-to-Stochastic-Finance-with-Market-Examples/Privault/p/book/9781032288260" target="_blank">Exercise Solutions</a>, 857-1265.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="https://routledgetextbooks.com/textbooks/instructor_downloads/" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
</b><a style="text-decoration: none;" href="MA5182/references.pdf" target="_blank">References and Index</a>, 1267-1299.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MA5182/references.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
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<li id="foldheader"><font face="helvetica,arial,courier">
<b>
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<a href="MH8311/MH8311.pdf" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
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Stochastic Processes for Data Science
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Topics in Discrete Stochastic Processes
</b>
</li>
<ul id="foldinglist">
<u>Lecture Notes</u></font></a>:
<a href="MAS728/stochastic_modeling.pdf" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>
380 pages -
<a href="https://drive.google.com/file/d/1cPIOcEVNwf68R0Ych2PrU4xp5gOjZ3mZ" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>
312 pages.
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<font face="helvetica,arial,courier">
<b>MH4522 Spatial Data Science</b>
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<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1z4HcLQH9AyTjoyKwCDi82ZgVRWvi43FJ" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
236 pages
</font>
-
<a href="https://drive.google.com/file/d/1QOjUBXpV0KWP07NXaZLxO6l0V5mjmH_H" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a> 194 pages.
<p>
</ul>
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<li id="foldheader">
<font face="helvetica,arial,courier">
<b>MH7013 Diffusion Models</b>
</font>
</li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1y1RwC8BgB6pb9PI3lJi5kl0CPDgKCVql" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
674 pages
</font>
-
<a href="https://drive.google.com/file/d/1PuVFjA1nzW4DSJz5gc30ixJsssTnDtdd" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a> 554 pages.
<p>
</ul>
<br>
<li id="foldheader">
<font face="helvetica,arial,courier">
<b><!--MH4514--> Financial Mathematics</b>
</font>
</li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1iCsMdtJctWK2fo65WP5iqNvQ73acObzU" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
</font>
-
<a href="https://drive.google.com/file/d/1yQF834qTbPtX7A2yaQJr87zJUQTwOgxL" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">slides</font></a>.
<p>
</ul>
<br>
<li id="foldheader">
<font face="helvetica,arial,courier">
<b>FN6516 Stochastic Calculus in Finance II</b>
</font>
</li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1CMDcqr4htzSv3Iq9uovuzcjf7ZxRY28Y" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
</font>
-
<a href="https://drive.google.com/file/d/1hXTDaNww-lC2lioVj-hE4ylei-RYBHVu" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">slides</font></a>.
<p>
</ul>
<br>
<li id="foldheader">
<font face="helvetica,arial,courier">
<b>FN6813 Interest Rate Derivatives</b>
</font>
</li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/18V1QYboyKfE4qEFYrx4MaemJIeoi5nnQ" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
</font>
-
<a href="https://drive.google.com/file/d/1qhdc8Jqnkb9NCL6LbxYwjbwNPuuK-otr" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">slides</font></a>.
<p>
</ul>
<br>
<li id="foldheader">
<font face="helvetica,arial,courier">
<b>FN6905 Exotic Options and Structured Products</b>
</font></li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1ug_x3szd_vrvFtjrEeq_CJ_FMQt34yPo" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
</font>
-
<a href="https://drive.google.com/file/d/1uS7234v7QYoFkCbORUwpL-6NSsljyL25" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">slides</font></a>.
<p>
</ul>
<br>
<li id="foldheader">
<font face="helvetica,arial,courier">
<b>AN6807 Data Analytics for Credit and Related Risk</b>
</font>
</li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1gpXAOw8qt9G9T9zGwJsjFAypuo8osida/" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
</font>
-
<a href="https://drive.google.com/file/d/1ccWNjf-QNgMfYjOu-_Klv5U9aYP7biYL" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">slides</font></a>.
<p>
</ul>
<br>
<!--
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<b>Financial Risk & Analytics</b>
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</li>
<ul id="foldinglist">
<font face="helvetica,arial,courier">
<u>Lecture Notes</u>:
<a href="https://drive.google.com/file/d/1xEL7M7QQ7NsLeInvTcum60YnssCOGYmc" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font></a>
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<a href="https://drive.google.com/file/d/1pVoB-iMCns9efGIEjdm2t51_9rywL6bI" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">slides</font></a>.
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<li id="foldheader"><font face="helvetica,arial,courier">
<b>
Notes on Financial Risk & Analytics
</b>
</li>
</li>
<ul id="foldinglist">
<u>With R and Python</u></font></a>:
<a href="MH8331/financial_risk_analytics.pdf" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>456 pages<a href="https://drive.google.com/file/d/1lvx81Q_hsPQZoE0RCCMhoYh_NEJ_61Q2/" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>
376 pages.
</font>
<p>
<u>With R</u></font></a>:
<a href="https://drive.google.com/file/d/17kUYBUa3f91bJCZ7dqKrNz1Io4k9ghuK" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>436 pages<a href="https://drive.google.com/file/d/1tSZjWv1F3mq-gPJEWaiPlLuCmZgVL4CS" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>
358 pages.
</font>
<p>
<u>With Python</u></font></a>:
<a href="https://drive.google.com/file/d/1bwwO0Q21KNAFDkyTv3z3LM5W2q_lVeMf" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>442 pages<a href="https://drive.google.com/file/d/1ioSAIA1_ZKM8Pqos2qKyOBSpFgHx24bY" target="_blank" onmouseover="window.status='pdf' ; return true" style="text-decoration: none;">
<font onmouseout="this.style.color='#1528c7';this.style.textDecoration='none'" onmouseover="this.style.color='1535ff';this.style.textDecoration='underline'" color="#1528c7" size="+0">pdf</font>
</a>
358 pages.
</font>
<p>
<font face="helvetica,arial,courier">
<b></b><a style="text-decoration: none;" href="MH8331/introduction2.pdf" target="_blank"> Contents</a>, i-xix.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/introduction2.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>1.</b><a style="text-decoration: none;" href="MH8331/geometric_brownian_motion.pdf" target="_blank"> Modeling Market Returns</a>, 3-38.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/geometric_brownian_motion.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>2.</b><a style="text-decoration: none;" href="MH8331/time_series.pdf" target="_blank"> Time Series</a>, 39-82.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/time_series.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>3.</b><a style="text-decoration: none;" href="MH8331/jump_processes.pdf" target="_blank"> Processes with Jumps</a>, 83-110.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/jump_processes.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>4.</b><a style="text-decoration: none;" href="MH8331/correlation_dependence.pdf" target="_blank"> Correlation and Dependence</a>, 111-130.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/correlation_dependence.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>5.</b><a style="text-decoration: none;" href="MH8331/superhedging_risk_measure.pdf" target="_blank"> Superhedging Risk Measure, 133-164.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/superhedging_risk_measure.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>6.</b><a style="text-decoration: none;" href="MH8331/value_at_risk.pdf" target="_blank"> Value at Risk, 165-192.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/value_at_risk.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>7.</b><a style="text-decoration: none;" href="MH8331/expected_shortfall.pdf" target="_blank"> Expected Shortfall</a>, 193-217.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/expected_shortfall.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>8.</b><a style="text-decoration: none;" href="MH8331/credit_risk_structural.pdf" target="_blank"> Credit Risk - Structural Approach</a>, 221-237.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/credit_risk_structural.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>9.</b><a style="text-decoration: none;" href="MH8331/credit_risk_reduced_form.pdf" target="_blank"> Credit Risk - Reduced-Form Approach</a>, 239-252.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/credit_risk_reduced_form.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>10.</b><a style="text-decoration: none;" href="MH8331/credit_derivatives.pdf" target="_blank"> Credit Derivatives</a>, 253-271.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/credit_derivatives.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b>11.</b><a style="text-decoration: none;" href="MH8331/credit_scoring.pdf" target="_blank"> Credit Scoring</a>, 273-297.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/credit_scoring.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b></b><a style="text-decoration: none;" href="MH8331/probability_background.pdf" target="_blank"> Appendix: Background on Probability Theory</a>, 301-343.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/probability_background.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b></b><a style="text-decoration: none;" href="MH8331/exercise_solutions2.pdf" target="_blank"> Exercise Solutions</a>, 345-422.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/exercise_solutions2.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
<br>
<br>
<b></b><a style="text-decoration: none;" href="MH8331/references2.pdf" target="_blank"> References and Index</a>, 423-438.
<a style="color: rgb(21, 40, 199); text-decoration: none;" href="MH8331/references2.pdf" target="_blank" ><img align="up" style="border: 0px solid ;" width="17" height="17" src="pdf.png"></a>
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