II.4. Introduction to Quantitative Finance

Introduction to Quantitative Finance


  • Gain an introduction to applications in finance which require a higher level of mathematical analysis or rigor than required in most core corporate finance applications.
  • Learn the core principles and methods that are required.
  • Develop practical skills to work with simple models in the application areas discussed.


  • Overview. This course covers the core principles and methods in quantitative finance. It begins with topics related to optimisation, and then discusses real-options, options and derivates, as well as credit modelling. 
  • Practical Work and Exercises. Students are expected to build simple examples for themselves as they follow the text. The course also contains downloadable data sets or simple models that allow a reader to do this practical work without having to enter large sets of data or repeat previous steps.


  • Options and derivatives. Risk-neutral valuation · Options valuation · Black-Scholes’ formulae · Binomial trees · Simulation methods · Introduction to grid-based methods and finite differences.
  • Introduction to credit modelling. · Vasicek and Merton formula · Default probabilities · Transition matrices · Portfolio losses · Capital requirements.