Math 181: Mathematics of Finance

Winter 2008

Mathematics Department, UCLA

Instructor

Russel Caflisch

Office: 7619A Math Science Bldg

Office hours: MWF 12-1

Virtual office hours: through the site below

Lectures: MWF 10-10:50

Room: 5147 Math Science Bldg

TA

Yang Wang

TA office and hours: TBA

Discussion Section: TBA

Course Information

Mathematics Department

Departmental Course site

Text: "Options, futures and other financial derivatives" by John Hull

Prerequisites: Calculus (Math 33A), Statistics (Stat 110A or equivalent), Economics (Econ 11)

Syllabus

Midterm date: Friday February 15, open book, open notes, calculators allowed (nonprogrammable only)

Final exam: TBA

Policies (Tentative and subject to change)

Exams are open book, open notes, calculators allowed

Makeup exams by special advance arrangement only (i.e. arranged before scheduled exam)

Homework: Distributed every Friday, due following Friday (tentative)

No late homework.

Grades: 30% homework, 30% midterm, 40% final exam

Sample exams

Sample midterm1

Sample midterm1 solutions.

Sample final1

Sample final1 solutions.

Sample midterm2 This midterm has no Black-Scholes problems only problems on a binomial tree.

Sample midterm2 solutions.

Sample final exam2

Sample final exam2 solutions.

Note that there is a sign error in the solution to problem #2c in exam2. Replace alpha by –alpha.

Exams

midterm

midterm solutions

Lecture Notes (and relevant sections in Hull 5th ed.)

These will be not be handed out in class. Please print them out before each class.

Lecture 1

Lecture 2

Lecture 3

Lecture 4-5 (Lect 5: 10.1 and 11.1-11.3)

Lecture 6-8 (Lect 6: 1.3-1.6; Lect 7: 3.4-3.3.8; Lect 8: 8.1-8.4)

Lecture 9-10 (10.1-10.4)

Lecture 11-12 (Chapters 12 and 13, Hull 6th ed.)

Lecture 13 (Chapter 13, Hull 6th ed.)

Lecture 14 (Chapter 13, Hull 6th ed.)

Lecture 15-16 (Chapter 15, Hull 6th ed.)

Lecture 17 (Chapter 10 & 22, Hull 6th ed.)

Lecture 18 (Chapter 9, Hull 6th ed.)

Lecture 19

Lecture 20

Lecture 21

Lecture 22-23

Lecture 24

Homework Assignments (Adobe pdf files)

HW1 Due: Friday, Jan. 18

HW2 Due: Friday, Jan. 25

HW3 Due: Friday, Feb. 1

HW4 Due: Friday, Feb. 8

HW5 Due: Friday, Feb. 15

HW6 Due: Monday, Feb. 29

HW7 Due: Friday, Mar. 7

To send messages or questions to me, click here: `caflisch@math.ucla.edu`.

Caflisch's homepage:

Prof. Russel Caflisch

email:

caflisch@math.ucla.edu

Phone:

(310)206-0200 (office)

Address: