Readings

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Jan 22 - 24 : Introduction to the course and some finance terminology slides | Hull, Ch. 1
Jan 29 - 31 : Overview of financial products and markets slides | Hull, Ch. 2
Feb 5 : Static hedging with futures, hedge ratio, and linear regression slides | Hull, Ch. 3
Feb 7 : Interest Rates slides | Hull, Ch. 4
- Additional reading: The Newton-Raphson method
- Errata: In slides 8, 9, and 10, the equations should have a negative sign in the exponents (because the time different in the exponent is negative)
Feb 12 : Options slides | Hull, Ch. 10 & Ch. 11
Feb 14 : Binomial trees and Risk-neutral valuation slides | Hull, Ch. 13
Feb 19 : Binomial trees and Risk-neutral valuation (ctd.) video | Hull, Ch. 13
Feb 21 : A (very limited) probability recap + Wiener processes slides | slides | Hull, Ch. 14
Feb 26 - 28 : Ito processes and Ito's lemma (ctd.) Hull, Ch. 14
Mar 4 - 6 : Modern portfolio theory and the Capital Asset Pricing Model (CAPM) slides | Hull, Ch. 3; Wilmott, Ch. 18
- Additional reading: Markowitz, H.M. (1952). "Portfolio Selection". The Journal of Finance. 7 (1): 77–91 PDF

--- Spring Break ---

Mar 18 : Continuous-time CAPM and the Black-Scholes-Merton Model slides | Wilmott, Ch. 66
Mar 20 : The Black-Scholes-Merton Model slides | Hull, Ch. 15
Mar 25 : Option pricing: dynamics and simulations slides | notebook

Mar 27 : Midterm Exam

Apr 1 : Martingales, Numeraire, and the market price of risk slides | Hull, Ch. 28 (upto, and including, Sec. 28.4)
- Additional reading: Hull, John. C. "The Return for a Security Dependent on Multiple sources of Uncertainty". Technical Note (30) PDF
Apr 3 : Introduction to time series slides | Tsay, Ch. 1
- For a revision of probability and statistics relevant for the second half of this course, lectures 1-5, and then lecture 8 of MIT OpenCourseWare's Introduction to Probability is sufficient.
Apr 10 : Linear time series analysis: autocorrelation slides | Tsay, Ch. 2 (Sec. 2.1 - 2.2)
Apr 15 : Linear regression and simple autoregressive models slides | Tsay, Ch. 2 (Sec. 2.3 - 2.4)
Apr 17 : Simple moving average models slides | Tsay, Ch. 2 (Sec. 2.5)
Apr 24 : Maximum likelihood estmation for time series slides
- This topic is not covered in the textbooks, so the slides are more verbose than usual.
Apr 24 - May 1 : Autoregressive moving average (ARMA) models, non-stationarity, and seasonal models slides | Tsay, Ch. 2 (Sec. 2.6 - 2.10)
May 1 : A summary view of forecasting and estimation slides

Approximate order in which topics will be covered: