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.