Math 174E, Mathematics of Finance, Fall 2017
Time and place: MTW, 10am-10:50am, MS 5117.
Instructor: Mario Bonk
Office: MS 6137
Office hours: Mo, 1pm-2pm; Th, 1pm-2pm; and by appointment.
E-mail: mbonk at math.ucla.edu
Phone: (310) 825-4948
Discussion session: Tu, 10am-10:50am, MS 5117, with
Ioannis Lagkas Nikolos.
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%).
Midterm 1: Fr, October 27, in class.
Midterm 2: Fr, November 17 in class.
Final exam: We, December 13, 11:30am-2:30pm, MS 5117.
Prerequisites: Calculus and linear algebra, basic knowledge of probability.
Sample exams from Falll 2016:
Midterm1, Final Exam
Course material: We will roughly cover the material
corresponding to Chapters 1, 2, 4, 5, 10, 11, 12, 13, 14, 15, 19
in the ninth edition of Hull's book.
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+2 (in Hull). Turn in:
HW1. Due: Mo, Oct. 2.
- Homework 2: Turn in:
HW2. Due: Fr, Oct. 6.
- Homework 3: Turn in:
HW3. Due: Fr, Oct. 13.
- Homework 4: Read Ch. 4 (in Hull). Turn in:
HW4. Due: Fr, Oct. 20.