A Cadenillas

Professor, Faculty of Science - Mathematics & Statistical Sciences

Contact

Professor, Faculty of Science - Mathematics & Statistical Sciences
Email
abel@ualberta.ca
Phone
(780) 492-0572
Address
639 Central Academic Building
11324 - 89 Ave NW
Edmonton AB
T6G 2G1

Overview

Research

Areas

Mathematical Finance, Stochastic Processes & Control Theory

Courses

MATH 357 - Introduction to Mathematical Finance II

Forward and futures contracts: forward and futures prices, hedging with futures. Options: put-call parity, bounds on option prices, time value of options. Option pricing: European and American options in the binomial tree model, Black-Scholes formula. Financial engineering: hedging option positions, hedging business risk. Variable interest rates: maturity-independent yields, general term structure. Stochastic interest rates: arbitrage pricing of bonds, interest rate derivative securities. Prerequisite: MATH 356 or consent of the Department.

Winter Term 2021
STAT 453 - Risk Theory

Classical ruin theory, individual risk models, collective risk models, models for loss severity: parametric models, tail behavior, models for loss frequency, mixed Poisson models; compound Poisson models, convolutions and recursive methods, probability and moment generating functions. Prerequisite: STAT 371.

Fall Term 2020
STAT 553 - Risk Theory

Classical ruin theory, individual risk models, collective risk models, models for loss severity: parametric models, tail behavior, models for loss frequency, mixed Poisson models; compound Poisson models, convolutions and recursive methods, probability and moment generating functions. Prerequisite: STAT 371 or equivalent. Note: Cannot be used for credit towards a thesis-based graduate program in the Department of Mathematical and Statistical Sciences.

Fall Term 2020

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