Math-of-Finance Schedule | |||||

2/6/2007 | |||||

week | topics… | ||||

1 | 22-Jan | M | Foreign exchange: -- reality vs. model constructs -- no-arbitrage->relations among market prices -- financial principle of relativity |
hw1 | |

24-Jan | W | Bonds, interest, present
value: interest on accounts -- simple, compound, continuous; D(t) |
hw1 due; hw2 | ||

26-Jan | F | Present value, P(t): discounting cash flows |
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2 | 29-Jan | M | Treasury bonds and
strips; observing P(t) in nature |
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31-Jan | W | Yield (r-bar) and forward rates (r) | hw2 due | ||

2-Feb | F | The stock market: downloading share prices from Yahoo |
hw3 | ||

3 | 5-Feb | M | Daily return: arithmetic, A(t), and logarithmic, R(t) statistics of historical prices |
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7-Feb | W | Standard model: Geometric Brownian Motion (GBM) |
hw3 due hw4 |
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9-Feb | F | Measuring the statistics of the standard model (mu and sigma). Volatility. Predictions from the standard model. | |||

4 | 12-Feb | M | Options: Uses of options Option as contingent claim Expected profit from option |
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14-Feb | W | Black-Scholes formula assuming risk neutrality | hw4 due | ||

16-Feb | F | Applications of Black-Scholes | |||

5 | 19-Feb | M | Random walks | ||

21-Feb | W | Decision trees ("option trees") | |||

23-Feb | F | Using option trees for American Options and Exotic Options | exam about now | ||

6 | 26-Feb | M | Uncertain payments: EMV-ers, risk aversion utility functions |
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28-Feb | W | Fundamental theorem (utility) | |||

2-Mar | F | Fundamental theorem (utility and probability) | |||

7 | 5-Mar | M | Arbitrage theorem: no arbitrage -> market prices are expected values |
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7-Mar | W | More arbitrage theorem | |||

9-Mar | F | Uncertain future payments | |||

Spring Break | |||||

8 | 19-Mar | M | OPTION PRICING (without risk neutrality): | ||

21-Mar | W | The two-branch model | |||

23-Mar | F | ||||

9 | 26-Mar | M | Decision trees w/ market probabilities | ||

28-Mar | W | Black-Scholes in general | |||

30-Mar | F | American and exotic options | |||

10 | 2-Apr | M | "Greeks" and financial engineering | ||

4-Apr | W | ||||

6-Apr | F | exam about now | |||

11 | 9-Apr | M | PORTFOLIO OPTIMIZATION: | ||

11-Apr | W | Mean-variance optimization | |||

13-Apr | F | MVO with cash | |||

12 | 16-Apr | M | Capital Asset Pricing Model | ||

18-Apr | W | Implied views | |||

20-Apr | F | ||||

13 | 23-Apr | M | |||

25-Apr | W | ||||

27-Apr | F | ||||

14 | 30-Apr | M | |||

2-May | W | ||||

4-May | F | ||||

December 15 - 22 : Final Exams |