MATH 424, INTRODUCTION TO THE MATHEMATICS OF FINANCE
FALL 2007
Instructor:
Konstantina Trivisa:
- Office: 3307 Mathematics Bldg
- Phone: (301) 405-6865
- Office Hours: (Fall 2007)
Tu, Th 9:00 - 10:15 or by appointment.
- Email:
trivisa@math.umd.edu
Introduction to basic concepts in mathematical finance
for undergraduate students in mathematics, finance, economics and
engineering. The focus is on mathematical methods in pricing of derivative
securities, portfolio management and on other related questions of mathematical
finance. The emphasis will be on individual and group projects.
Prerequisites:
Required: MATH 141; and either STAT 400 or BMGT 231.
Corequisite: BMGT 343.
Recommended: MATH 240, 241 or 246.
Main Text:
-
Sheldon M. Ross,
An Introduction to Mathematical Finance, Options and other Topics
Second Edition
(Cambridge University Press, 2003).
Additional Text: (on reserve in the library)
-
John C. Hull,
Options Futures and Other Derivatives Fifth Edition
(Prentice Hall NJ 2002)
Class Times: Tuesday and Thursday: 11:00am - 12:15am.
Location: CHM0124.
Tentative Exam Schedule:
-
Midterm 1: Thursday, September 27.
- Midterm 2: Thursday, October 25.
Final Exam: Thursday, December 13, 2007: 8:00am - 10:00am.
COURSE OUTLINE (Tentative):
Option Pricing and Portfolio Theory and
- A Random Walk Down the Wall Street
- Financial Markets and Instruments
- Elements From Basic Probability Theory
- Interest Rates and Present Value Analysis
- Normal Distribution of Stock Returns
- Introduction to Option Pricing
- Capital Asset Pricing Model and Arbitrage Pricing Theory
- The Multiperiod Bionomial Model
- The Black-Scholes Option Pricing Formula
- Applications of the Black-Scholes Formula
- Trading and Hedging of Options
- Utility Functions and Portofolio Theory
- Interest Rate Derivatives and Related Models
- Risk Measurement and Risk Management
Grading (approximate):
- Homework: 20%
- Midterms I & II: 40%
- Final: 40%
Assignments: Homeworks will be assigned and collected.