MATH 5760/6890, FALL 2013

Introduction to Mathematical Finance I

Syllabus

Lecture Notes:

• Chapter 1 Summary
• Chapter 2 Summary
• Chapter 3 Summary
• Chapter 4 Summary
• Chapter 5 Summary
• Chapter 6 Lecture Note
• Chapter 7 Summary

Final Exam and Review Sessions:

• Final Exam: Tuesday (12/17) 9:00 - 11:00 am, JWB 308.
• Review Session: Tuesday (12/10) 4:00 - 5:00 pm, LCB 218.
• Final Office Hours: Friday (12/13) 11:00 am - 1:00 pm, Monday (12/16) 3:00 - 4:00 pm.
• Practice Problem Set Solution keys

Homework Assignments:

• Week 2, due 9/10: Homework Assignment 1
• Week 3, due 9/17: Homework Assignment 2
• Week 4, due 9/24: Homework Assignment 3
• Week 5, due 10/1: Homework Assignment 4
• Week 6, due 10/10: Homework Assignment 5, Solutions (Excel Spreadsheet implementation)
• Midterm Project, due 10/24: Programming Project
• Week 9, due 10/29: Problems 4.5, 4.8, 4.12, 4.15 and 4.17 from the text.
• Week 10, due 11/5: Homework Assignment 7
• Week 11, due 11/12: Homework Assignment 8
• Week 11, due 11/19: Homework Assignment 9 Notes
• Week 12, due 11/26: Homework Assignment 10
• Week 14, due 12/10: Homework Assignment 11 (updated)
• Week 15, due 12/17: Homework Assignment 12

MATLAB and Excel Files:

• Excel spreadsheet to simulate dynamic hedge: delta_hedge_call.xlsx
• Excel spreadsheet to compare returns and estimate volatilities: vol_estimate.xlsx
• M-file to simulate Brownian paths: bm_path.m
• Excel spreadsheet to simulate a Brownian path and a geometric Brownian path: BM_1path.xlsx
• M-file to simulate a mean-reversion path: ou_path.m
• M-files for MC simulations: mc_option.m , mc_exotics.m , bsoption.m (Black-Scholes formula for call prices) Note for running M-files