MATH4210 - Financial Mathematics - 2016/17
Announcement
- 23/9 (Friday) The 2nd Annual Inter -University Algo Trading Contest. [Download file]
- 27/9 (Tue) Make up class, LT6, 6:30-8:00PM
- TA 1 email: kckchan@math.cuhk.edu.hk
- TA 2 email: hlchan@math.cuhk.edu.hk
- 28/10 (Fri.) Quiz 1, Ch1-Ch3.3
- Due date of homework 3 is 2/11 now.
- I made a correction on trading strategy. 4/11/2016 and 9/11/2016.
- FMSchedule has new info. about assignments and quiz2 [Download file]
- There is a typo on page 70, line 4. It is corrected.
- Quiz2 will be held on 30 Nov. It will cover 3.8-5.3.2
- I plan to teach on Wednesday 30. Nov. 12:30-1:15. Then we will have Quiz 2.
- Students can go to LSB222B to get back your Midterm2
- Final exam coverage: Ch1-Ch.6.5 except those marked * [Download file]
- I did not teach 5.3.3 - 5.5 (stability, convergence and fast algorithms), therefore they are not in the final exam.
General Information
Lecturer
-
I-Liang Chern
- Office: SC 334
- Tel: 39435137
- Email:
Teaching Assistant
-
陳晞朗
-
陳焯杰
Time and Venue
- Lecture: LSB LT5
Course Description
Financial derivatives are contracts which are tools for managing expo- sures to the risks associated with the underlying assets. The trading amount of these financial derives are trillions of dollars each year. They play very important role in our society. The Black-Scholes model is the fundamental mathematical model to price such financial derivatives. Black-Sholes-Merton were awarded Nobel prize in 1997 for there fundamental contribution on financial derivatives. This course will mainly introduce this model, their mathematical background, computa- tional methods, and applications. Topics include: Basic option theory, forward and futures con- tracts, options, model of asset price, discrete random walk model, Ito’s Lemma, Black-Scholes model, free boundary problems for options, Numerical methods such as the binomial methods, Monte Carlo methods, and finite difference method.
Textbooks
- I-Liang Chern, Lecture Note on Financial Mathematics (it will be available online soon)
- Raymond Chan, Lecture Note on Financial Mathematics (it will be available online soon)
References
- John Hull, Options, Futures and Other Derivative Securities
- Paul Wilmott, San Howison and Jeff Dewynne, The Mathematics of Financial Derivatives, A Student Introduction.
Lecture Notes
- 2/12 version (This is the note used in the class)
- Syllabus
- Tentative Schedule (22/11)
- Chap1 slides
- Chan's Chap 1
- Chan's Chap 02
- Chan's Chap 03
- Chan's Chap 04
- Chan's Chap 05
- Chan's Chap 06
- Chan's Chap 07
- Chan's Chap 08
- Chan's Chap 09
- Chan's Chap 10
- Chap2 slides
Assignments
- Assignment 1, due date 21/09/2016
- Assignment 2, due date 7/10/2016 (Make a correction on 05/10)
- Assignment 3, due date 2/11/2016
- Assignment 4, due date 25/11/2016
- Asignment 5, due date 7/12/2016
Quizzes and Exams
Solutions
- Assignment 1 solution
- Assignment 2 solution
- Assignment 3 solution
- Assignment 4 solution
- Midterm 2 solution
Useful Links
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.
Last updated: December 12, 2016 12:32:00