MATH4210 - Financial Mathematics - 2015/16

Announcement

• Syllabus [Download file]
• Chapter 1-2 [Download file]
• Chapter 3-10 (updated, April 17) [Download file]
• FINAL EXAM (latter chapters, Chapter 4 up)

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General Information

Lecturer

• KAZUFUMI ITO
  • Office: Room 227, LSB
  • Email:
  • Office Hours: MWF 3:00-4:00PM

Teaching Assistant

• Mr. Lam Ka Chun
  • Office: Room 222B, LSB
  • Email:
• Mr. Chan Hei Long
  • Office: Room 222B, LSB
  • Email:

Time and Venue

• Lecture: M6 (1:30 PM - 2:15 PM) LSB LT2; W3-4 (10:30 AM - 12:15 PM) LSB LT2
• Tutorial: M5 (12:30 PM - 1:15 PM) LSB LT2

Course Description

Course Description --- Basic Option Theory: Financial Markets; What is an Option? What are Options For? Types of Options; Put & Call Options; Trading of Options; American & European Options; Interest Rates. --- Stochastic Tools: Normal Distributions; Wiener Processes (Brownian motion); Poisson Process Stochastic Differential Equations; Ito's Lemma; etc.

--- Black-Scholes Model: Black-Scholes Analysis; Black-Scholes Equations; Black-Scholes Formulas; Boundary and Final Conditions; Hedging in Practice; Implied Volatility; Risk-neutral Valuation.

--- Numerical Methods for Option Pricing

Assessment Scheme Six homework assignments

Lecture Notes

• Chapter 1: Introduction
• Chapter 2: Options
• Chapter 3: Interest Rates and Forward
• Chapter 4: Put-Call Parity
• Chapter 5: Trading Strategies
• Chapter 6: Geometric Brownian Motions
• Chapter7: Ito's Lemma
• Chapter 8: Black-Scholes Equations
• Chapter 9: Numerical Metho ds for Option Pricing
• Chapter 10: Extensions of Black-Scholes Model

Tutorial Notes

• Tutorial 1
• Tutorial 2
• Tutorial 3
• Tutorial 4
• Tutorial 5
• Tutorial 6
• Tutorial 7
• Tutorial 8
• Tutorial 9
• Tutorial 10
• Tutorial 11

Assignments

• Assignment 1
• Assignment 2
• Assignment 3
• Assignment 4
• Assignment 5
• Programming Assignment
• Assignment 6

Quizzes and Exams

• The First Quiz, Monday, Feb. 22.
• The Second Quiz, Wed, April 6.

Solutions

• Solution to Assignment 1
• Solution to Assignment 2
• Solution to Quiz 1
• Solution to Assignment 3
• Solution to Assignment 4
• Solution to Assignment 5
• Solution to Quiz 2
• Solution to Programming Assignment
• Solution to Assignment 6

Honesty in Academic Work

The Chinese University of Hong Kong places very high importance on honesty in academic work submitted by students, and adopts a policy of zero tolerance on cheating and plagiarism. Any related offence will lead to disciplinary action including termination of studies at the University. Although cases of cheating or plagiarism are rare at the University, everyone should make himself / herself familiar with the content of the following website:

http://www.cuhk.edu.hk/policy/academichonesty/

and thereby help avoid any practice that would not be acceptable.

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Last updated: May 04, 2016 23:28:46