21-270 Introduction to Mathematical Finance


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Schedule and Homework

For each week there will be a link to a page with a reading assignment and a homework assignment. This schedule is tentative. It will get more accurate as the semester progresses. No week's topics should be taken as final until the homework is linked.

Week #1:
Jan 13 - 17
Assignments M: Introduction and Administrivia.
W: Puts and Calls. Option basics.
F: Mathematical Models of Markets.

Week #2:
Jan 20 - 24
Assignments M: Martin Luther King Day. No Class.
W: Forward rates and forward prices.
F: Option Pricing in the Binomial Model.

Week #3:
Jan 27 - 31
Assignments M: More Option Pricing. Introduction to Fixed Income Securities.
W: Interest Rate Conventions.
F: Forward Interest Rates. Fixed Income Securities.
Administrative Note: Monday, January 27, is the semester course drop deadline to receive tuition adjustment.

Week #4:
Feb 3 - 7
Assignments M: No Arbitrage Pricing of Fixed Income Securities.
W: Internal Rate of Return.
F: Internal Rate of Return Revisited.

Week #5:
Feb 10 - 14
Assignments
Exam Review M:
W: Float Notes and Interest Rate Swaps.
F: Exam #1 is scheduled for class time on Friday, February 14.

Week #6:
Feb 17 - 21
Assignments M:
W: Forward Contracts.
F: Forward Prices for Stocks.

Week #7:
Feb 24 - 28
Assignments M: Forward Contracts Continued.
W: Futures Contracts. Forward Prices of Commodities.
F: Put-Call Pairity.
Administrative Note: Monday, February 24, is the course drop deadline. Students who withdraw after this date will receive a grade of W.

Week #8:
Mar 2 - 6
Assignments M: Put-Call Pairity Continued.
W: American Options and European Options.
F: Mid-Semester Break. No Class.

Spring Break:
Mar 9 - 13 Spring Break!

Week #9:
Mar 16 - 20
Assignments M: Finite Probability Spaces. Expected Value.
W: Exam #2 is scheduled for class time on Wednesday, March 18.
F: Variance and Covariance. Standard Deviarion.

Week #10:
Mar 23 - 27
Assignments
Exam Review M: Correlation and Independence.
W: European and American Options Revisited.
F: More on Independence of Random Variables.

Week #11:
Mar 30 - Apr 3
Assignments M: The Binomial Model Revisited.
W: Risk-Neutral Probabilities.
F: The One Period Binomial Model and Risk-Neutral Probabilities.

Administreative Note: Monday, February 25, is the course withdrawl deadline. Students may not withdraw after this date.

Week #12:
Apr 6 - 10
Assignments M: The First Fundamental Theorem of Asset Pricing.
W: Implications of the First Fundamental Theorem.
F:

Week #13:
Apr 13 - 17
Assignments M: The Second Fundamental Theorem of Asset Pricing.
W: Second Fundamental Theorem Continued.
F: Optimal Investing and Utility Functions.

Week #14:
Apr 20 - 24
Exam Review M: Jensen's Inequality.
W: Exam #3 is scheduled for class time on Wednesday, April 22.
F: Utility Functions.

Week #15:
Apr 27 - May 1
Assignments M: Mean Variance Analysis.
W: Mean Variance Analysis Continued.
F:

Final Exam
Exam Review The Final Exam has been scheduled for Monday, May 11 from 1:00-4:00pm. Please take this into account when making your travel plans.

Week #1: Jan 13 - 17 Assignments	M: Introduction and Administrivia. W: Puts and Calls. Option basics. F: Mathematical Models of Markets.
Week #2: Jan 20 - 24 Assignments	M: Martin Luther King Day. No Class. W: Forward rates and forward prices. F: Option Pricing in the Binomial Model.
Week #3: Jan 27 - 31 Assignments	M: More Option Pricing. Introduction to Fixed Income Securities. W: Interest Rate Conventions. F: Forward Interest Rates. Fixed Income Securities. Administrative Note: Monday, January 27, is the semester course drop deadline to receive tuition adjustment.
Week #4: Feb 3 - 7 Assignments	M: No Arbitrage Pricing of Fixed Income Securities. W: Internal Rate of Return. F: Internal Rate of Return Revisited.
Week #5: Feb 10 - 14 Assignments Exam Review	M: W: Float Notes and Interest Rate Swaps. F: Exam #1 is scheduled for class time on Friday, February 14.
Week #6: Feb 17 - 21 Assignments	M: W: Forward Contracts. F: Forward Prices for Stocks.
Week #7: Feb 24 - 28 Assignments	M: Forward Contracts Continued. W: Futures Contracts. Forward Prices of Commodities. F: Put-Call Pairity. Administrative Note: Monday, February 24, is the course drop deadline. Students who withdraw after this date will receive a grade of W.
Week #8: Mar 2 - 6 Assignments	M: Put-Call Pairity Continued. W: American Options and European Options. F: Mid-Semester Break. No Class.
Spring Break: Mar 9 - 13	Spring Break!
Week #9: Mar 16 - 20 Assignments	M: Finite Probability Spaces. Expected Value. W: Exam #2 is scheduled for class time on Wednesday, March 18. F: Variance and Covariance. Standard Deviarion.
Week #10: Mar 23 - 27 Assignments Exam Review	M: Correlation and Independence. W: European and American Options Revisited. F: More on Independence of Random Variables.
Week #11: Mar 30 - Apr 3 Assignments	M: The Binomial Model Revisited. W: Risk-Neutral Probabilities. F: The One Period Binomial Model and Risk-Neutral Probabilities. Administreative Note: Monday, February 25, is the course withdrawl deadline. Students may not withdraw after this date.
Week #12: Apr 6 - 10 Assignments	M: The First Fundamental Theorem of Asset Pricing. W: Implications of the First Fundamental Theorem. F:
Week #13: Apr 13 - 17 Assignments	M: The Second Fundamental Theorem of Asset Pricing. W: Second Fundamental Theorem Continued. F: Optimal Investing and Utility Functions.
Week #14: Apr 20 - 24 Exam Review	M: Jensen's Inequality. W: Exam #3 is scheduled for class time on Wednesday, April 22. F: Utility Functions.
Week #15: Apr 27 - May 1 Assignments	M: Mean Variance Analysis. W: Mean Variance Analysis Continued. F:
Final Exam Exam Review	The Final Exam has been scheduled for Monday, May 11 from 1:00-4:00pm. Please take this into account when making your travel plans.