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This course is aimed at those wants to achieve a general education in financial mathematics.
Prerequisities:
Linear Algebra SF1624 (or SF1604), Calculus SF1625 (or SF1602),
Probability Theory and Statistics SF1901 or equivalent courses.
Examination:
There will be a written exam on Tuesday June 3, 2014, 8.00-13.00.
Registration for the written examination via "mina sidor"/"my pages"
is required. SU students can register at the student affairs office of the mathematics department.
The time intevall during which registration is possible is 2014-xx-xx until 2014-xx-xx.
Registration requests otherwise addressed will not be processed.
Grades are set according to the quality of the written exam.
Grades are given in the range A-F, where A is the best and F means
failed, and Fx.
Fx means that you have the right to a complementary examination
(to reach the grade E).
The criteria for Fx is a grade F on the exam, and that an isolated part
of the course can be
identified where you have shown a particular lack of
knowledge and that the examination after a complementary examination on
this
part can be given the grade E.
One additional written exam will be given, the date will be announced later.
Homework:
There will be two homework assignments. Note that solving the homework
assignments is NOT a requirement for passing the course. Correctly solved homework assignments handed
in on time will result in that you will not have to solve parts of or the whole of the first exercise on
the exam in June and the next exam, but after that you either have to re-do the homework or solve all
exercises at the exam.
Course literature:
J. Hull: Fundamentals of Futures and Options Markets, 8:th ed.
Available from "Kårbokhandeln".
Preliminary plan
(CL=Camilla Landen, TG=Thorbjörn Gudmundsson)
| Day |
Date |
Time |
Place |
Topic |
Chapter |
Lecturer |
| Mon |
24/3 |
13-15 |
Q2
|
Introduction
|
1, 12.1, 12.2 |
CL |
| Tue |
25/3 |
13-15 |
Q2
|
Conditional expectation, martingales
|
- |
CL |
| Thu |
27/3 |
10-12 |
Q2
|
Binomial model
|
12 |
CL |
| Mon |
31/3 |
10-12 |
Q2
|
Binomial model
|
18.1 |
CL |
| Thu |
3/4 |
13-15 |
Q2
|
General one period model
|
- |
CL |
| Fri |
4/4 |
10-12 |
Q2
|
Exercises
|
10.5 |
TG |
| Mon |
7/4 |
13-15 |
Q2
|
Dividends
|
18.3 |
CL |
| Tue |
8/4 |
13-15 |
Q2
|
Forwards and Futures
|
2, 5 |
CL |
| Thu |
10/4 |
13-15 |
Q2
|
Exercises
|
- |
TG |
| Mon |
14/4 |
10-12 |
D3
|
Black-Scholes model
|
10, 11, 13 |
CL |
| Wed |
16/4 |
10-12 |
Q2
|
Black-Scholes model
|
17, 18.2 |
CL |
| Thu |
17/4 |
10-12 |
Q2
|
Exercises
|
- |
TG |
| Tue |
22/4 |
13-15 |
Q2
|
Interest rates
|
4, 6 |
CL |
| Thu |
24/4 |
15-17 |
Q2
|
Forward rate agreements and swaps
|
7 |
CL |
| Fri |
25/4 |
10-12 |
Q2
|
Exercises
|
- |
TG |
| Mon |
28/4 |
10-12 |
Q2
|
Currency derivatives
|
15, 18.2 |
CL |
| Tue |
29/4 |
14-16 |
Q2
|
Interest rate models
|
- |
CL |
| Wed |
30/4 |
10-12 |
Q2
|
Exercises
|
- |
TG |
| Mon |
5/5 |
13-15 |
D3
|
Interest rate trees
|
- |
CL |
| Tue |
6/5 |
13-15 |
D3
|
Exchange options
|
22 |
CL |
| Thu |
8/5 |
8-10 |
Q2
|
Exercise
|
- |
TG |
| Mon |
12/5 |
10-12 |
Q2
|
Loose ends and summary
|
- |
CL |
| Tue |
13/5 |
13-15 |
Q2
|
Exercises
|
- |
TG |
| Wed |
14/5 |
10-12 |
Q2
|
Exercise
|
- |
TG |
Chapter refers to chapters in "Fundamentals of Futures and Options Markets"
by John C. Hull. For the interest rate part at the end of the course extra
material will be handed out.
Welcome, we hope you will enjoy the course!
Camilla and Thorbjörn
To course
web page
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