Math 181: Mathematics of Finance
Winter 2003
Mathematics Department, UCLA
Instructor
Russel Caflisch
Office: 7619D Math Science Bldg
Office hours: MWF 11-12 am
Virtual office hours: through the site below
Virtual Office Hours site
Text evaluation form - Please fill this out if you were a student in the course and email to
caflisch@math.ucla.edu
Course Information
Hours: 2-2:50
Room: Knudsen 1240B (NOTE ROOM CHANGE
Text: "Introduction to Economics and Mathematics of Financial Markets"
by Cvitanic and Zapatero.
To be distributed in class or on the website.
TA: Brian Dolan
Discussion Section: Tuesday 2-2:50, 5217 Math Sci Bldg
TA Office Hours: TBA
Midterm date: Wednesday, Feb 5.
Final date: Monday, March 17, (3:00 - 6:00 PM)
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
No late homework.
Grades: 1/5 homework, 2/5 midterm, 2/5 final project
Exams
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Homework
Homework 2. Cvitanic & Zapatero, pp. 67-68, #1,3,5. Due Jan. 24
Homework 3. Cvitanic & Zapatero, pp. 30, #6,7,8 and pp. 132 #2,4,5. Due Jan. 31
Homework 4. Cvitanic & Zapatero, pp. 132, #3,6,7 Due Feb 7
Homework 5. Cvitanic & Zapatero, pp. 152-3, #2,4,9,10 Due Feb 14
Homework 6. Cvitanic & Zapatero, pp. 187-8, #2,5,6 Due Feb 21
Homework 7. Cvitanic & Zapatero, pp. 235, #1.
Problem 2. For the CRR model in this problem, set p=1/2 and find the average rate of return mu and the risk premium mu-r. Due Feb 28
Homework 8. Cvitanic & Zapatero, pp. 235-8, #4,12 (with no dividend),17 Due March 7 Table of Normal CDF
Sections of Text Covered in Course
Chap 1: 1.1, 1.2, 1.3.1-1.3.7
Chap 2: 2.1, 2.2, 2.3.1, 2.3.4, 2.3.5
The sections in 2.3 were covered in lectures in a way that is different
from that in the book.
Chap 4: 4.1.1-4.1.5, 4.2
Chap 5: 5.1.1-5.1.3, 5.2
Chap 6: 6.1, 6.2.1, 6.3.1-6.3.5
The sections in 6.3 were covered without discussion of Martingales in a
way that is different from that in the book.
Chap 7: 7.1, 7.2
Chap 10: 10.1.1, 10.3.1-10.3.4
Chap 16: 16.1 - 16.5
To send messages or questions to me, click here:
caflisch@math.ucla.edu.
Caflisch's homepage:
email:
caflisch@math.ucla.edu
Phone:
(310)206-0200 (office)
(310)939-7764 (home office)
(310)206-6673 (fax)
Address:
Mathematics Department
UCLA
Los Angeles, CA 90095-1555
Office:
7619D Mathematical Sciences Building