MATH4210 - Financial Mathematics - 2023/24

Course Name: 
Financial Mathematics
Teacher: 
Prof. Xiaolu TAN
Course Year: 
2023/24
Term: 
2

Announcement

  • Classes on Thursday 12:30-14:15 now move to Cheng Yu Tung Building Room 201.

General Information

Lecturer

  • Tan Xiaolu
    • Office: LSB227
    • Email:

Teaching Assistant

  • Kang Jiazhi
    • Email:
  • Pang Xiangying
    • Email:

Time and Venue

  • Lecture: Tuesday 9:30-10:15 (Lady Shaw Bldg LT3); Thursday 12:30-14:15 (Cheng Yu Tung Building 201)
  • Tutorial: Tuesday 8:30-9:15 (Lady Shaw Bldg LT3);)

Course Description

Topics of this course will include: Basic option theory, forward and futures contracts, interest rate, binomial tree model, Ito's Lemma, Black-Scholes model, free boundary problems of options, etc. Students taking this course are expected to have knowledge in probability and differential equations.

There will be 1 mid-term examen, 1 final examen, and some homework.


References

  • Financial Mathematics, Derivatives and Structured Products, by Chan, R., Guo, Y., Lee, S.T., and Li, X.
  • Advanced Financial Mathematics, lecture notes from University of Münster (https://www.uni-muenster.de/imperia/md/content/Stochastik/financial_mathematics.pdf)

Pre-class Notes


Lecture Notes


Tutorial Notes


Solutions


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.

Assessment Policy

Last updated: April 19, 2024 13:58:35