Math 181: Mathematics of Finance

Winter 2007

Mathematics Department, UCLA

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Instructor

Russel Caflisch

Office: 7619A Math Science Bldg

Office hours: MWF 1-2

Virtual office hours: through the site below

Lectures: MWF 11-11:50

Room: 5137 Math Science Bldg

TA

Mingqiang Zhu

TA office and hours: Tuesday 1-2, 1129D IPAM Bldg

Discussion Section: T 11:00A-11:50 MS6627

Course Information

Mathematics Department

Departmental Course site

Virtual Office Hours site 

Text: "Options, futures and other financial derivatives" by John Hull

Prerequisites: Calculus (Math 33A), Statistics (Stat 154A or 110A or equivalent), Economics (Econ 11)

Syllabus

Midterm date: Wednesday, February 7 (tentative)

Final exam: Thursday, March 22, 2007, 11:30 AM - 2:30 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 (tentative)

No late homework.

Grades: 30% homework, 30% midterm, 40% final exam

Sample exams

Sample midterm Please replace problems asking for Black-Scholes solution by problems on a binomial tree.

Sample midterm solutions.

Sample final

Sample finalsolutions.

Exams

midterm

Midterm solutions.

final exam solutions.

Lecture Notes (and relevant sections in Hull 5th ed.)

These will be not be handed out in class. Please print them out before each class.

Lecture 1

Lecture 2

Lecture 3

Lecture 4-5 (Lect 5: 10.1 and 11.1-11.3)

Lecture 6-8 (Lect 6: 1.3-1.6; Lect 7: 3.4-3.3.8; Lect 8: 8.1-8.4)

Lecture 9-10 (10.1-10.4)

Lecture 11-12 (Chapters 12 and 13, Hull 6th ed.)

Lecture 13 (Chapter 13, Hull 6th ed.)

Lecture 14 (Chapter 13, Hull 6th ed.)

Lecture 15-16 (Chapter 15, Hull 6th ed.)

Lecture 17 (Chapter 10 & 22, Hull 6th ed.)

Lecture 18 (Chapter 9, Hull 6th ed.)

Lecture 19

Lecture 20

Monte Carlo Lecture

Homework Assignments (Adobe pdf files)

HW1 Due: Friday, Jan. 19

To send messages or questions to me, click here: caflisch@math.ucla.edu.

Caflisch's homepage:

Prof. Russel Caflisch