PSTAT 170 Spring 2010

Introduction to Mathematical Finance

 

ANNOUNCEMENTS

Have a wonderful summer!

 

DOCUMENTS

Syllabus

Topic Coverage

Geometric Brownian Motion Simulation

Risk-Neutral Derivation of Black-Scholes-Merton call price

Numerical Solution to the BSM pde: Explicit Finite Difference

 



READING ASSIGNMENTS

Chapter

Deadline

1, 3, 8, 10

Apr 6

2, 5

Apr 15

9, 11

April 22

12

May 6

13

May 20

17, 18

May 27

19, Section 8

June 3

Suggested Reading:

Cox, J.C., Ross S.A., Rubinstein M. “Option Pricing: A Simplified Approach.”  

 

Black F, Scholes M.  “The Pricing of Options and Corporate Liabilities.”


HOMEWORK PROBLEMS (collected on the deadline in class)
There will be a total of 5 collected assignments

Set #

Chapter

Deadline

Problems

1

1
3

Apr 8

1.2   1.4   1.7   1.10  1.15   1.26
3.1   3.2   3.6   3.7   3.23


2


3
5
10


Apr 15


3.18   3.25(a)
5.3     5.4   5.12   5.16
10.7   10.10   10.12   10.14   10.19


3


9
11


Apr 22


9.1   9.2   9.3   9.7   9.16
11.1   11.3   11.7   11.12   11.13


4


12


May 6


12.5   12.7   12.8   12.13   12.15 a, b


5


13


May 20


13.1   13.4   13.6   13.8   13.13   13.27


6


17
18


June 1


17.2   17.3   17.4   17.5   17.6   17.9   17.25
18.2   18.3   18.5   18.9


SURVEYS (This is part of the homework assignment, but not collected.  Follow link for deadlines)



 

SOLUTIONS


HW Solutions 1
HW Solutions 2
HW Solutions 3
HW Solutions 4
HW Solutions 5
HW Solutions 6


Quiz 1 Solutions

Quiz 2 Solutions

Quiz 3 Solutions


Midterm Solutions

Final Exam Solutions

 

GRADE DISTRIBUTIONS










Quiz 1 Distribution

Quiz 2 Distribution

Quiz 3 Distribution


Midterm Distribution

Final Exam Distribution