MATH 5760/6890, FALL 2012

Introduction to Mathematical Finance I

Instructor: Jingyi Zhu, LCB 335, 801-581-3236, zhu@math.utah.edu

Class Schedule: TH: 9:10-10:30 am, LCB 121

Office Hours: MW 12:00 - 1:30 pm, or by appointment, LCB 335

Text: M. S. Joshi, The Concepts and Practice of Mathematical Finance, 2nd Edition
(2008), Cambridge University Press, ISBN 978-0-521-51408-8.

Prerequisites: Introduction to Probability (Math 5010) and Differential Equations (Math 2280)

Syllabus

Lecture Notes:

Final Exam Office Hours and Review Session:
  • Review session: Tuesday (12/11) 1:00 - 2:00 pm, JWB 308.
  • Office hour: Wednesday (12/12) 1:00 - 2:00 pm.
  • Final exam: Thursday (12/13) 8:00 - 10:00 am, LCB 121.

Final Exam Practice Problems

Homework Assignments:
  • Week 2: (Chapter 2) 2, 6, 8, 15, 16. Due 9/6 at 5 pm (please note the new due date). Solution Note
  • Week 4: (Chapter 3) 1, 6, 8, 10, 11. Due 9/18 at 5 pm. A note with a numerical example
  • Week 5: (Chapter 4) 3, 7, 9, 14, 16. Due 9/25 at 5 pm.
  • Week 6: (Chapter 5) 1, 3, 5, 8, 11. Due 10/4 at 2 pm.
  • Data Analysis Project, Due 10/23 at 5 pm. (pdf)
  • Week 9: (Chapter 6) 2, 3, 4, 8, 10, 12, 15, 17. Due 10/30 at 5 pm.
  • Week 10: (Chapter 7) 5, 6, 11, 14, 15, 16. Due 11/13 at 5 pm.
  • Week 12: Monte Carlo exercises (pdf) . Due 11/20 at 5 pm. M-file: mc_price.m
  • Week 13: (Chapter 8) 1, 3, 6, 8, 12. Due 11/27 at 5 pm.

MATLAB and Excel Files: