Math 174A, Fall 2012
Instructor: Wanshun Wong
Email: wanshunwong@math.ucla.edu
Office: MS 6324
Office
Hours: TR
Lectures: TR
Textbook: R.L. McDonald, Derivatives Markets, (2nd Edition), Addison Wesley
Supplementary Material: ActuarialBrew Review Questions
Grading Policy: There will be seven 5-10 minute Quizzes on Oct 9, 16, 30, Nov 6, 13, 27, and Dec 4 (Tuesday of week 2, 3, 5, 6, 7, 9, and 10), and two midterm exams on Oct 23 and Nov 20 (Tuesday of week 4 and 8). The final exam will be on Dec 13. There will be NO make up exams.
The final grade will be assigned based on a curve, using one of the following two schemes:
a) 10% Quiz (5 out of 7, dropping 2 lowest scores), 40% Midterms (20% each), 50% Final
or
b) 10% Quiz (5 out of 7, dropping 2 lowest scores), 20% Midterms (1 out of 2, dropping the lower score midterm), 70% Final
Homework: Homework assignment will be assigned every week. They will NOT be collected and will NOT be graded. However, you are encouraged to finish the homework assignments as the problems on the quizzes will be very closely related (if not identical) to the homework problems.
Homework 1: Look up the definition (and the profit diagram if it is provided in the textbook) of bull spread, bear spread, ratio spread, collar, zero-cost collar, straddle, strangle, butterfly spread, asymmetric butterfly spread.
Ch 9: 1, 2, 4 – 11, 15
Ch 10: 1 – 4
Homework 2:
Ch 10: 8, 10, 14, 17, 18
Ch 11: 1, 2, 5
Homework 3:
Ch 12: 5, 6, 7, 9, 17
Homework 4:
Ch 13: 1, 3, 7
Ch 14: 2, 6, 16, 20
Homework 5:
Ch 18: 1, 6, 8, 9