MATH4210 - Financial Mathematics - 2024/25

General Information

Lecturer

• Tan Xiaolu
  • Office: LSB227
  • Email:

Teaching Assistant

• Pang Xiangying
  • Email:
• Shen Yi
  • Email:

Time and Venue

• Lecture: Tuesday 09:30-11:15 (Lady Shaw Bldg LT4); Thursday 09:30-10:15 (Institute of Chinese Studies L1)
• Tutorial: Thursday 08:30-09:15 (Institute of Chinese Studies L1)

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.

Pre-class Notes

• Note0

Lecture Notes

• Note1
• Note2
• Note3
• Note4A

Tutorial Notes

• Tutorial 1
• Tutorial 2
• Tutorial 3
• Tutorial 4
• Tutorial 5

Assignments

• Assignment 1
• Assignment 2

Solutions

• Assignment 1 Solution

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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Assessment Policy

Last updated: October 10, 2024 11:27:53