MATH4210 MATH4210 Financial Mathematics (2010-11)

Lecture Hours and Venues: Every Tuesday 10:30am-12:15pm at LT2, LSB and Thursday 12:30pm-1:15pm at LT5, LSB

Lecturer Office Hours: Every Thursday 11:30am-12:15pm, but please send me an email (rchan@math.cuhk.edu.hk) or call me first (2609-7970), if possible.

About the Lecturer: Raymond Chan

About the Tutors: Tsz Ho LEE (Rm 101, LSB), Ho Fung LEE (Rm 222C, LSB)

Tutorial Hours and Venues: Every Monday 12:30pm-1:15pm at G35, LSB and Tuesday 12:30pm-1:15pm at C3, LSB.


Course Objective: Topics of the course will include: Basic option theory, forward and futures contracts, model of asset price, Ito's Lemma, asset price random walk, Black-Scholes model, free boundary problems of options, discrete random walk model, the binomial methods, Monte Carlo methods, and if time allows, finite difference method.

Prerequisite: This course is about the mathematics of option pricing. Students taking this course are expected to have good knowledge in probability theory and partial differential equations. You can download Chapter 8 (click here) of my lecture notes to get a feeling of the mathematics level required. If it seems difficult to you, it certainly will be. May be you should then consider similar courses offered in the University, e.g. FIN4110 or RMS4007. They most likely will require less mathematical knowledge.


Textbooks:

References:


Lecture Notes:

  1. The first 7 chapters were modified from the lecture notes prepared by Prof. Xun Li of The National University of Singapore, and are based on the book "Options, Futures and Other Derivatives" by John Hull.
  2. The remaining chapters are based on the book "The Mathematics of Financial Derivatives: a Student Introduction" by Paul Wilmott.
  3. Some proofs are taken from the book "Mathematical Models of Financial Derivatives" by Yue-Kuen Kwok.

Link to the Lecture notes, assignments etc.


Tentative Teaching schedule:

Talk will be by Dr. Yves Guo (Executive Director, Equity Derivatives--Goldman Sachs (Asia))
on "Options Derivatives in the Real World"


Assessment Scheme:


Important Remarks: