MATH 5765/6895, SPRING 2011

Introduction to Mathematical Finance II

Course Description and Syllabus

Class Schedule: MWF 10:45-11:35 am, LCB 323

Office Hours: MWF 1:30-2:30 pm

Homework

• No.1: Problems 3.3 and 3.4 from Shreve, due Wednesday, Jan. 26 at 5:00 pm. Solutions
• No.2, with MATLAB code: BM_sample_path.m, due Monday, Jan. 31 at 5:00 pm.
• No.3, due Monday, Feb. 7 at 5:00 pm. Solutions
• No.4, due Monday, Feb. 14 at 5:00 pm. Matlab codes: replicate.m, BS_call.m
• No.5: Problems 4.13, 4.15 and 4.18 from Shreve, due Wednesday, Feb. 23 at 5:00 pm.
• No.6: Problems 5.9 and 5.12 from Shreve, due Monday, March 7 at 5:00 pm.
• No.7, due Friday, March 18 at 2:00 pm. Matlab codes: stoch_vol.m, skew_comp.m, impvol.m
• No.8, due Monday, April 11 at 5:00 pm. MATLAB code: vasicek_test.m, bond_price_vasicek.m,
• No.9, due Monday, April 18 at 5:00 pm. Comments