Math 174E, Mathematics of Finance, Fall 2016

Time and place: MTW, 10am-10:50am, GEOLOGY 4645.

Instructor: Mario Bonk

Office: MS 6137

Office hours: We, 11am-12pm; Th, 2pm-3pm; and by appointment.

E-mail: mbonk at math.ucla.edu

Phone: (310) 825-4948

Discussion session: Tu, 10am-10:50am, GEOLOGY 4645, with Joe Hughes.

Textbook: J.C. Hull, Options, Futures, and other Derivatives, Pearson, Boston, 2009.

Grading: The course grades are based on weekly homework (20%), two midterm exams (20% each), and the final exam (40%).

Final exam: Mo, December 5, 8am-11am, GEOLOGY 4645.

Prerequisites: Calculus and linear algebra, basic knowledge of probability.

Course material: We will roughly cover the material corresponding to Chapters 1, 2, 3, 4, 5, 10, 12, 13, 14, 15, 17, 19, 20, 21, 22 in ninth edition of Hull's book.

Announcements:

Second midterm exam: Fr, November 18, in class.

Homework assignments: A standing assignment for this course is to follow the financial markets. Find a good web-site for this and look at the information regularly. Discussion in class, homework, and exam problems will be based on current financial market data.

Homework 1: Read Ch. 1-3 (in Hull). Turn in: HW1. Due: Mo, Oct. 3.

Homework 2: Read Ch. 4. Turn in: HW2. Due: Fr, Oct. 7.

Homework 3: Work through the Practice Questions of Ch. 1 and Ch. 4. Turn in: HW3. Due: Fr, Oct. 14.

Homework 4: Read Ch. 5 and Ch. 10. Turn in: HW4. Due: Mo, Oct. 31.

Homework 5: Read Ch. 11 and Ch. 12. Turn in: HW5. Due: Fr, Nov. 4.

Homework 6: Read Ch. 13 and Ch. 14. Work through the Practice Questions of Ch. 13. Turn in: HW6. Due: Mo, Nov. 14.

Homework 7: Read Ch. 15. Turn in: HW7. Due: Mo, Nov. 21.

Preparation for the Final: The Final will cover the material discussed in class roughly corresponding to Chapters 1, 2, 4, 5, 10, 11, 12, 13, 14, 15, 19 in Hull. I recommend that you review these chapters. Here are some problems that we may help you with the material that we have discussed in class lately: Ch. 14, Problems 4, 5, 7, 9, 10, 16; Ch. 15, Problems 1, 2, 4, 6, 12, 13, 14, 16, 17; Ch. 19, Problems, 2, 3, 5, 28.