M A T H E M A T I C S O F F I N A N C I A L D E R I V A T I V E S - F A L L 2 0 1 6
LECTURES: Monday 6:00pm-9:00pm, in EPC 208.
INSTRUCTOR: Solesne Bourguin, office hours Wednesdays 2:00pm-3:00pm (my office is MCS 226). You can also email me (email@example.com) to set up an appointment.
GRADER: Fangjing Fu (firstname.lastname@example.org). Don't hesitate to contact her if you have questions.
In this class, we will develop the probabilistic tools used in finance and present the methodologies that are used in the pricing of financial derivatives. No previous knowledge of finance is required. Financial topics include forward and futures contracts, options pricing (binomial trees and the Black-Scholes model), bonds, interest rates, and swaps. Probability topics include stochastic processes, conditional expectation, martingales, Brownian motion, stochastic
integrals, and change of measure (Girsanov theorem).
TEXTBOOK: Options, Futures, and Other Derivatives, 9th Edition, by John C.
Hull, Pearson 2015.
GRADING: mini quizzes (10%), problem sets (20%), midterm exam (30%) and a final exam (40%).
MINI QUIZ: Each class will begin with a short quiz on the material from the previous week. Immediately after the quiz, we will discuss the answers. For this reason, there can be no make-ups for mini quizzes.
HOMEWORK: Every Monday for the next Monday. Late homeworks will not be accepted at all. See below table for assignments and due dates.
SCHEDULE OF EXAMS: The midterm exam will be held on Monday, October 24th from 6:00pm to 7:45pm and will cover all that has been done up to Monday, October 17th included. The (cumulative) final exam will be held on Friday, December 16th from 6:00pm to 8:00pm in CAS 316 and will cover everything that has been done during the entire course.