Math 410/510
(34900/34909)
Class Times, Days, and Place: 14:00-14:50 MWF, Deady Hall 210
Instructor: Hao Wang
Reference Books: (1) Options, Futures & Other Derivatives
(4th
Edition) by John C. Hull
(2) Derivative Securities (2nd Edition) by Robert Jarrow and Stuart
Turnbull
(3) Derivatives, the theory and practice of financial engineering
by Paul Wilmott
Office: 11A Deady Hall
Office Hours: W:14:50-15:30pm and F:14:50-15:30pm (Otherwise,
you need to make an appointment with me by e-mail.)
Email: haowang@darkwing.uoregon.edu
Web URL: http://darkwing.uoregon.edu/~haowang/teaching/510_SPR2002/510.html
Prereq: MATH 461 or MATH 464
Grading Policy
Your course grade is the sum of following performance scores: The homeworks will count as 15% of the course grade; The midterm will count as 25%; and the final exam will count as 60%.
Homework: Homework questions will be given in the class or posted in my website. Please keep checking my website. Homework is due weekly before Friday's class. Late handing in homework will not be accepted. One lowest homework score will be dropped and the remaining homework scores will be averaged and contributed to the course grade. You can discuss with other students while working on your homework problems, but copying other students' answers is not allowed. Your solution to each homework problem should be legible and should describe your ideas clearly. No details will have no scores. Please use 8.5" by 11" sheets to do your homework and don't forget to write down your first name and last name (In order to protect your rights to confidentiality of your papers, don't write down your ID number on homework paper.) on each page. Your homework will be returned in the return boxes by your grader. Please find your return box and pick up your homeworks promptly.
Exam: There are a midterm and a final exam. For each exam, you can bring a 8.5" by 11" sheet with formulae or useful notes for you, but discussing and any cheating are not allowed during the exam. Your solution to each exam problem should be legible and describe your ideas clearly. No details will have no scores. Generally there is no make-up exams except for very special reason with certification.
Tentative Content Coverage:
(1) Introduction, basic financial concepts
(2) interest rate, compounding, discounting, day count basis, ...
(3) Bond pricing, bootstrapping
(4) Mortgage pricing and mortgage monthly premium calculation
(5) Forward pricing
(6) Futures pricing
(7) Swap pricing
(8) Binomial tree model and European and American option pricing
(9) Credit rating and Markov chain
(10) Scenario generation and VAR estimation
Tentative Syllabus
(Updated
on April 11, 2002)
| Tentative Date | Remarks | Contents covered in Class | Homework due date |
|---|---|---|---|
| 4/1M | Pre-requirement
checking |
Introduction | |
| 4/3W | (1) | ||
| 4/5F | No Class | ||
| 4/8M | (2) | ||
| 4/10W | (2) | ||
| 4/12F | (3) | Homework#1 due date | |
| 4/15M | Q-session | (3) | |
| 4/17W | (4) | ||
| 4/19F | (4) | Homework#2 due date | |
| 4/22M | (5) | ||
| 4/24W | Q-session | (5) | |
| 4/26F | (5) | Homework#3 due date | |
| 4/29M | (6) | ||
| 5/1W | (6) | ||
| 5/3F | (7) | Homework#4 due date | |
| 5/6M | (7) | ||
| 5/8W | Q-session | (8) | |
| 5/10F | Review Session | Homework#5 due date | |
| 5/13M | Midterm Exam | Cover until (7), inclusive | |
| 5/15W | (8) | ||
| 5/17F | Q-session | (8) | Homework#6 due date |
| 5/20M | (8) | ||
| 5/22W | Q-session | (9) | |
| 5/24F | (9) | Homework#7 due date | |
| 5/27M | No Class
Memorial Day |
||
| 5/29W | (10) | ||
| 5/31F | (10) | Homework#8 due date | |
| 6/3M | Review, Evaluation | ||
| 6/5W | Review | ||
| After June 5th, | No classes | ||
| Office Hour after June 5th: | June 10th:10:00-11:00am | June 11th:10:00-10:45am | June 12th: 10:00-11:00am |
Final Exam : 15:15pm-17:15pm Wednesday, June 12, location: Deady Hall 210 |
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