FINA6102 FINA6102 Quantitative Finance II (2011-12)

Lecture Hours and Venue: Every Saturday 10:00am-1:00pm at LT4, Esther Lee Building, CUHK

Lecturer Office Hours: Every Saturday after class or email (rchan@math.cuhk.edu.hk)/call me (3943-7970) to make appointments at other times.

About the Lecturer: Raymond Chan

Tutorial Hours and Venue: Every Saturday 5:45pm-6:45pm at NAH_12, Humanities Building, New Asia College, CUHK

About the Tutor: Kelvin Chi Fung Lam (Email: kelvinlam@baf.cuhk.edu.hk).

Course Objective: Topics of the course will include the second part of John Hull's book: Basic Numerical Procedures,
Value at Risk, Credit Risk, Credit Derivatives, Exotic Options, Martingales and Measures, Interest Rate Derivatives, and Swaps.

Prerequisite: Since the course is the second course in Quantitative Finance, students are expected to be familiar with the first part of
John Hull's book, namely, interest rates, futures, options, Wiener process, Ito's lemma, Black-Scholes Model, and Greek letters.
We will briefly go over these topics in the first lecture.

Textbooks:

References:

Lecture Notes:

  1. The course is based on John Hull's book and the accompanied power point slides.
  2. We aim to cover Chapters 20 to 32 of Hull's book (8th edition). But since this is the first time
    I teach this course, I will adjust the contents according to the background of the students.

Tentative Teaching schedule:

Assessment Scheme: