MATH 5765/6895, SPRING 2012
Introduction to Mathematical Finance II
Instructor: Jingyi Zhu, LCB 335, 8015813236, zhu@math.utah.edu
Prerequisites: Introduction to Mathematical Finance I (Math 5760)
Topics to be Covered:

Exotic options, a brief introduction

Monte Carlo simulations and some variance reduction techniques

Beyond geometric Brownian motion, some other models

Autoregressive models and mean reversion

Estimating volatility and covariance, the GARCH model

Fundamentals of continuous time finance, Brownian motion revisited

Ito's integral, Ito's lemma, and Ito's process

BlackScholes equation derived

Martingale and riskneutral pricing

Change of measure and exotic option pricing

Introduction to stochastic volatility models

Jump diffusion process and models

Credit modeling

Examples of statistical arbitrage
Grading:

Homework Assignments (70%): taken from the textbook and notes;

TakeHome Final (30%): a comprehensive exam that covers all the
materials and it will be made available at
the beginning of the last week of class.
Lecture Notes
Homework Assignments:
Solution Notes: