FINC405 Mathematical Finance
FINC405 Mathematical Finance
1. Class meets in ARCH2 at 12pm-1:50pm on Tuesdays and
DC102 at 12pm-1:50pm on Thursdays
Office hours: 2pm-2:50pm on Tuesdays and Thursdays
2. There is no official tutor, Pakorn (Beam) Aschakulporn and Jungah (Isabella) Yoon volunteer to help.
Their email addresses are beam.aschakulporn@otago.ac.nz, Isabella.yoon@postgrad.otago.ac.nz
3. Class Rep: Harrison Munro-Clark, munha592@student.otago.ac.nz
4. Result of Assignment 1: Mean = 87.0, Median = 89, SD = 13.3, Max = 100, Min = 47
5. Result of Assignment 2: Mean = 92.3, Median = 95, SD = 8.1, Max = 99, Min = 69
6. Result of Midterm: Mean = 73.72, Median = 78.5, SD = 17.3, Max = 94, Min = 42
Week 1
7 Jul 2020, Lecture 1: Brownian motion and normal distribution
9 Jul 2020, Reviewing Calculus
Week 2
14 Jul 2020, Lecture 2: Probability density function of a function of Brownian motion
16 Jul 2020, Continue reviewing Calculus
Assignment 1 covers materials of Lecture 1 and 2. It is due in class on 23 Jul 2020 (Thu).
An article on Louis Bachelier
Week 3
21 Jul 2020, Lecture 3: Unconditional expectation of a function of a Brownian motion
23 Jul 2020, Continue Lecture 3
Week 4
28 Jul 2020, Lecture 4: Conditional expectation of a function of a Brownian motion and martingale
30 Jul 2020, Continue Lecture 4
Assignment 2 covers materials of Lecture 3 and 4. It is due in class on 6 Aug 2020 (Thu).
Week 5
4 Aug 2020, Lecture 5: Stock price model, Ito's Lemma and option price model
6 Aug 2020, Continue Lecture 5
Week 6
11 Aug 2020, Lecture 6: No-arbitrage principle, forward price, put-call parity and the Black-Scholes model
13 Aug 2020, Continue Lecture 6
From Bachelier to Black-Scholes
Week 7
18 Aug 2020, Review
20 Aug 2020, Midterm exam in DC102 at 12pm-1:50pm
Mid-Semester Break
25 Aug 2020, No class
27 Aug 2020, No class