MATH 5760-01, MATH 6890-02 — Introduction to Financial Mathematics
Fall 2024
| Instructor: |
Akil Narayan |
| Email: |
akil sci.utah.edu |
| Office phone: |
+1 801-581-8984 |
| Office location: |
WEB 4666, LCB 116 |
| Office hours: |
Wednesdays 10:30-11:15 and Thursdays 10:15-11:00, WEB 4666 |
| Class meeting time: |
Monday, Wednesday, Friday 9:40am - 10:30am |
| Class meeting location: |
WEB L126 |
A basic introduction to the theory of financial derivative pricing. Topics include no arbitrage principle, risk-neutral measure, Black-Scholes theory, numerical model implementation and parameter calibration.
The course syllabus is here: PDF
The content of this course is split across this website and Canvas. The material available on this website is:
- Course syllabus
- Homework assignments
- Lecture slides and notes
- Miscellaneous handouts and links to software
The material available on Canvas is:
- Course syllabus
- Homework assignments and submission portal
- Grading results
Graded assignments
Individual grades for each assignment will be posted to Canvas. (uNID login required.) Note that the letter grades appearing on Canvas are not representative of predicted final letter grades for the course. Final letter grades will be computed according to the rubric and policies on the syllabus.
Homework assignments
Late work will not be accepted without advance approval from the instructor.
|
Problem set description
|
Due date
|
Homework
|
|
1 : Simple valuations
|
August 30, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
2 : More valuations
|
September 6, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
3 : Simple portfolios
|
September 13, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
4 : 2-security Markowitz portfolios
|
September 20, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
5 : N-security Markowitz portfolios
|
September 27, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
6 : Capital Market Theory
|
October 4, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
P1 : Project 1
|
October 18, 2024
|
PDF
|
|
7 : The Binomial Pricing Model
|
October 25, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
8 : More on Binomial Pricing
|
November 1, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
9 : The Cox-Ross-Rubinstein Model
|
November 8, 2024
|
PDF
|
|
Key and solutions
|
|
PDF
|
|
10 : Continuous-time models
|
November 15, 2024
|
PDF
|
|
11 : Brownian Motion
|
November 22, 2024
|
PDF
|
Miscellaneous handouts
The following are various relevant handouts.
|
Description
|
Posting date
|
Download
|
|
01: Introduction and syllabus
|
August 22, 2024
|
PDF
|
|
02: Markets and securities
|
August 23, 2024
|
PDF
|
|
03: Interest
|
August 23, 2024
|
PDF
|
|
04: Present and future value
|
August 27, 2024
|
PDF
|
|
05: Forward and options
|
August 27, 2024
|
PDF
|
|
06: Review: linear algebra and differential equations
|
September 4, 2024
|
PDF
|
|
07: Review: probability
|
September 4, 2024
|
PDF
|
|
08: 2-security Markowitz portfolios
|
September 10, 2024
|
PDF
|
|
09: The 2-security Markowitz efficient frontier
|
September 12, 2024
|
PDF
|
|
10: N-security Markowitz portfolios
|
September 13, 2024
|
PDF
|
|
11: The Mutual Fund Theorem
|
September 22, 2024
|
PDF
|
|
12: Capital Market Theory
|
September 22, 2024
|
PDF
|
|
13: The Capital Asset Pricing Model
|
September 27, 2024
|
PDF
|
|
14: Risk Measures
|
September 27, 2024
|
PDF
|
|
15: Intro to security pricing models
|
October 14, 2024
|
PDF
|
|
16: The binomial pricing model
|
October 14, 2024
|
PDF
|
|
17: Basics of binomial options pricing
|
October 21, 2024
|
PDF
|
|
18: The Cox-Ross-Rubinstein model
|
October 21, 2024
|
PDF
|
|
19: The Cox-Ross-Rubinstein model, II
|
October 28, 2024
|
PDF
|
|
20: Continuous-time limits, I
|
October 31, 2024
|
PDF
|
|
21: Stochastic processes
|
November 5, 2024
|
PDF
|
|
22: Stochastic differential equations
|
November 7, 2024
|
PDF
|
|
23: Stochastic differential equations, II
|
November 15, 2024
|
PDF
|
|