Fall 2006 Math 513R
What, When, and Where:
Course Description:
Introduction to Mathematical Finance
Text:
Lectures:
MWF 10:00-10:50 106 RB (Stephen L. Richards Building)
Office Hours:
MWF 9:00-9:50 306 TMCB
Grading Scheme:
25% Assignments
25% Worksheets
25% Participation
25% Term Project
Grader: byumath513r@gmail.com
Course Schedule: (subject to change)
Sep 06 Introduction and Expectations
Sep 08 Commanding Heights I (hour I)
Sep 11 Commanding Heights I (hour II)
Sep 13 Derivatives Overview (Chap 1)
Sep 15 Hedging with Futures and Options (Chap 2)
Sep 18 Margins, Basis, Roll Over (Chap 3)
Sep 20 Hedging with Futures (Chap 5)
Sep 22 More Hedging with Futures (Chap 5)
Sep 25 Interest Rates (Chap 4)
Sep 27 More Interest Rates (Chap 4 and 6)
Sep 29 Sidebar on Difference Equations
Oct 02 Interest Rate Futures (Chap 6)
Oct 04 Swaps (Chap 7)
Oct 06 Options (Chap 8 and 9)
Oct 09 Spreads, Straddles, etc. (Chap 10)
Oct 11 Biomial Model (Chap 11)
Oct 13 Central Limit Theorem
Oct 16 Geometric Brownian Motion
Oct 18 Black Scholes Derivation
Oct 20 Properties of Black Scholes
Oct 23 Wiener Processes
Oct 25 Generalized Wiener, Stochastic DE
Oct 27 Ito's Lemma
Oct 30 Black-Scholes-Merton PDE I
Nov 01 Black-Scholes-Merton PDE II
Nov 03 Pricing with historical data
Nov 06 Options with Dividends
Nov 08 Jumps I
Nov 10 Jumps II
Nov 13 Behavioral Finance I
Nov 15 Behavioral Finance II
Nov 17 American Puts I
Nov 20 American Puts II
Nov 21 Reading Day
Nov 27 Estimation
Nov 29 Varience Estimation
Dec 01 ARCH/GARCH
Dec 04 Movie: The Wall Street Fix
Dec 06 Exotic Options
Dec 08
Dec 11
Dec 13
Assignments:
Assignments
Assignment #1 (Due Sept 22)
Chapter 1: 26-30,32
Chapter 2: 26-28
Assignment #2 (Due Oct 09)
Chapter 4: 24-28
Chapter 6: 23-26
Assignment #3 (Due Oct 30)
Chapter 7: 19-23
Chapter 8: 23,24,26
Assignment #4 (Due Nov 06)
Chapter 9: 22,23
Chapter 10: 19-21
Assignment #5 (Due Nov 13)
Chapter 11: 16-22 (except 20 c,d)
Chapter 12: 12-16
Worksheets
Worksheet #1 (Due Oct 02) (pdf)
Worksheet #2 (Due Dec 21) (pdf)
Participation
Paricipation: 25% or 250 points
Email to byumath513r@gmail.com
- Career Exploration (0-25 points each)
- Investment Club Event (0-25 points each)
- Movie Night (0-25 points each)
- Seminars (0-25 points each)
- Wall Street Journal (0-25 points each)
- Interview Professionals (0-25 points each)
- News and Current Events (0-25 points each)
- Case Studies/Papers (0-25 points each)
- Book Reports (0-25 points each)
Term Project
Term Project: 25% or 250 points
Partial List of Topics:
Instruments:
- Options: Black Scholes, Exotics, Greeks
- Commodities: Energy, Metals, Agriculture, Softs
- Bonds and Debt: Yield Curve, Credit Scoring
- Stocks: Valuation
Math Methods:
- Monte Carlo Methods
- Stochastic DE
- Time-Series Analysis
- Brownian Motion, Levy Processes, etc.
Risk Management:
- VaR, CFaR, etc.
- Insurance
- Gambling and Risk
- Hedging
Portfolio Management:
- Portfolio Optimization
- Trading Schemes
History, Policy, and Economic Thought:
- Federal Reserve
- The Great Depression
- Globalization
- Keynes vs. Hayek