The following is a tentative schedule for the course. Please check back regularly for updates as the term progresses. Hull chapters are from 3rd edition.
Week | Date | Topics | Description | |
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1 | Sep 11 - 15 | Basic Terminology, Contingent Claims |
Forwards, Options Refer to Chap 1, 3, 5, 9, 11 of Hull Chaps 1 and 3.3 of Wilmott |
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2 | Sep 18 - 22 | Options, Consequences of No Arbitrage | Chap 1, 3, 5, 9, 11 of Hull Chaps 1 and 3.3 of Wilmott Chap 1, 2 of Joshi |
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3 | Sep 25 - 29 | Binomial and Trinomial one-period Model | Chap 12.1, 12.2 - Hull Chap 1, Shreve; Chap 3.1 Joshi |
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4 | Oct 2 - 6 | Multiperiod Binomial Tree | Chap 1, Shreve Chap 3.4, Joshi |
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5 | Oct 9 - 13 | Log normal property of Stock prices. Approximation using Binomial Trees |
Chapter 3.5 -3.8 of Joshi Chap 10,11 Hull |
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6 | Oct 16 - 20 | Stochastic Differential Equations. Ito's Lemma. Black Scholes PDE |
Chap 10,11 Hull Chap 3.6 -3.8, Joshi |
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7 | Oct 23 -27 | Black Scholes | No Class meeting On Oct 23 and 25 |
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7 | Oct 27 | Implied Volatility, Delta Hedging | 3.7, 4.1 - 4.3 Joshi, 11.10, 11.11, 14.4, 14.5 Hull | |
8 | Oct 30 - Nov 3 | Greeks and Hedging. | 4.4 Joshi, Chapter 14, Hull. | |
9 | Nov 6 | Introduction to interest based instruments. Bonds, yield-to-maturity, duration, spot VS forward rates . |
Chapter 4.1-4.2,4.6,, Hull | |
9 | Nov 8,10 | Forward rate agreements, Swaps, Caps | Chap 5.1, 5.3 Hull, Chap 13.1 -13.3 Joshi | |
10 | Nov 13 | Review |
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Final | Nov 14 | FINAL EXAM | 1:15 - 3:15 pm Kemeny 120 |