FINC405 Mathematical Finance

Announcements

New Classrooms under Alert Level 2!

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

Course Schedule

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

Exercise for 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

Exercise for Lecture 6

An article by Fischer Black

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