Fall, 2019
Instructor:
Konstantina Trivisa:
- Office: 3307 Mathematics Bldg
- Phone: (301) 405-6865
- Office Hours: (Spring 2006)
Tuesday, Thursday 10:30-11:45am.
- Email:
trivisa@math.umd.edu
Introduction to basic concepts in mathematical finance for undergraduate students in
mathematics, finance, economics and engineering. The focus is on mathematical methods in
pricing of derivative securities, portfolio management and on other related questions of
mathematical finance. The emphasis will be on individual and group projects.
Prerequisites:
Required: MATH 141; and either STAT 400 or BMGT 231.
Corequisite: BMGT 343.
Recommended: MATH 240, 241 or 246.
Main Text:
- Sheldon M. Ross,
An Introduction to Mathematical Finance, Options and other Topics
Third Edition (Cambridge University Press, 2003)
Additional Text:
- John C. Hull,
Options, Futures and Other Derivatives
Nineth Edition (PEARSON)
Class Times: Tuesday and Thursday 2-3:15PM
Location: ITV 1100
Final Exam:Saturday December 14, 10:30am-12:30pm.
Midterm 1: Thursday, October 3.
Midterm 2: Thursday, November 21.
- COURSE OUTLINE (Tentative):
- A Random Walk Down the Wall Street
- Financial Markets and Instruments
- Elements From Basic Probability Theory
- Interest Rates and Present Value Analysis
- Normal Distribution of Stock Returns
- Introduction to Option Pricing
- Capital Asset Pricing Model and Arbitrage Pricing Theory
- The Multiperiod Bionomial Model
- The Black-Scholes Option Pricing Formula
- Applications of the Black-Scholes Formula
- Trading and Hedging of Options
- Utility Functions and Portofolio Theory
- Interest Rate Derivatives and Related Models
- Risk Measurement and Risk Management
Homework: Homeworks will be assigned and collected.
Homework 1 - Chapter 1. . - 1.1, 1.2, 1.3, 1.4, 1.8, 1.9, 1.11, 1.12. (due 09/12/19)
Homework 2. - Chapter 2. - 2.1., 2.2, 2.3, 2.4, 2.5. (due 09/24/19)
Homework 3. - Chapter 2. - 2.9., 2.10 - Chapter 3. - 3.1, 3.2 - Chapter 4. 4.1, 4.2, 4.3. (due 10/01/19)
Homework 4. - Chapter 4. 4.4, 4.5, 4.7. (due 10/15/19)
Homework 5. - Chapter 5. 5.3, 5.4, 5.5, 5.6, 5.7, 5.14. (due 10/29/19)
Homework 6. - Chapter 6. 6.1, 6.2, 6.5, 6.7. (due 11/12/19)
Homework 7. - Chapter 7. 7.1, 7.2, 7.3, 7.4. (due 12/05/19)
Grading (approximate):
- Homework: 20%
- Midterms I & II: 40%
- Final: 40%