AMATH 481 (Fall 2006)
"Introduction to Mathematical Finance"
Course Outline
Instructor:
Anatoliy Swishchuk
E-mail: aswish@math.ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours: TR:12:00pm-13:00

Place:  ST  59
Lectures Schedule and Tutorials 
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday  15:00-15:50  (ST 59)
 Friday 16:00-16:50  (ST 59)
Syllabus:
Introduction to financial markets and derivatives
Asset price random walks
Black-Scholes option pricing model
American options and other generalizations

 Important Class Dates:
First day of class: 15:00, Monday, September 11, 2006;
  Assignment # 1:Due - Oct 13, Fri
  Assignment # 2: Due-Oct 27, Fri
Midterm: November 3, Fri, 15:00-15:50 (ST59)
Assignment # 3: Due-Nov 10, Fri
  Assignment # 4: Due-Nov 24, Fri
  Assignment # 5: Due-Dec 8, Fri
Last day of class: December 8, 2006.
  Fall Session Final Examinations: December 11-20, 2005;
Final Exam:
13 December, Wednesday, 8:00am-10:00am, MS 319

Recommended text:
'The Mathematics of Financial Derivatives. A Student Introduction', P.Wilmott, S. Howison and J. Dewynne,Cambridge University Press, 1995.


Course Web Page:
The current official syllabus for this course is available in the wall pockets across from MS 476 and
on the webpage at www.math.ucalgary.ca Course Listing-Undergraduate.
There is also a web page for this course which contains the course outline, tentative course schedule,  grading scheme, important class dates, etc.
Announcements made in class will be posted there (see end of this web-page). The address of this web page is: http://www.math.ucalgary.ca/~aswish/amat481.html/

Class work:
In-class lectures with typical examples (lecture notes will be posted on the webpage in the form of pdf-files
);
your computer must have an Adobe Acrobat reader (for free downloading see www.adobe.com).

Midterm and Assignments:
There will be 1 Midterm (Nov 3, 2006) and 5 Assignments.

Final Exam:
It will cover all the materials covered in this course.

Grading scheme (Course Evaluation):
 Exam, Midterm and Assignments
Value (% of your final mark)
Dates
Midterm
30%
November 3, Fri, 15:00-15:50 (ST59)
Assignments (5)
20%=5x4% (4% for each assignment)
Due dates: Oct 13, Oct 27, Nov 10, Nov 24, Dec 8
Final Exam 50%  13 December, Wednesday, 8:00am-10:00am, MS 319


Tentative Lectures Schedule for AMAT481
Month
Day
Monday
Day
Wednesday
Day
Friday
Sep
11
Lec1: Course Introduction. Introduction to Financial Markets and Derivatives
13
Lec2: Introduction to Financial Markets and Derivatives II
15
Lec3: Martingales in Discrete-Time (B,S)-Security Markets and Asset Price Random Walks
Sep
18
Lec4: The Binomial Asset Pricing Model (BAPM) I 20
Lec5: The Binomial Asset Pricing Model (BAPM) II
22
Lec6:  General Binomial One-Step Asset Pricing Model (GBAPM): Summary
Sep
25
Lec7: Ito's Lemma 27
Lec8: Review of the Model of Stock Price and Ito's Lemma II
29
Lec9: Derivation of Black-Scholes Partial Differential Equation
Oct
2
Lec10: Black-Scholes Equation,  Boundary and Final Conditions, Black-Scholes Formulae for European Options
4
Lec11: Hedging in Practice, Implied Volatility
6
Lec12:  Random Walks, Wiener and Poisson Processes, Martingales in Continuous Time
Oct
9
Thanksgiving Day (No Lecture)
11
Lec13: Probabilistic  Derivation of Black-Scholes Formula For European Call Option
13
Lec14: Partial Differential Equations (PDE)
Oct
16
Lec15: Similarity Solutions to the Heat (Diffusion) Equations
18
Lec16: Reduction of Black-Scholes PDE to the Diffusion Equation 20
Lec17:  Derivation of the Black-Scholes Formula by PDE Approach
Oct
23
Lec18: Binary Options and Other Types of Options' Strategies 25
Lec19: Variation of Black-Scholes Model: Options on Dividend-Paying Assets  27
Lec20: Forward and Fures Contracts on Dividend-Paying Assets
Oct-Nov
30
Lec21: Options on Futures
1
Lec22: Variations of Black-Scholes Model: Time-Dependent Parameters
3
Midterm
Nov
6
Lec23: Stopping Times, American Options, Wald's Identities. 8
Lec24: Pricing of American Options for Discrete (B,S)-Security Markets
10
Lec25: Properties of American Derivatives Securities
Nov
13
Reading Day (No Lecture)
15
Lec26:  Stopping Times and American Options: Examples
17
Lec27: American Options: PDE Approach I
Nov
20
Lec28: American Options: The Obstacle and Linear Complimentary Problems
22
Lec29: American Call Options : Genaral Results
24
Lec30: American Options: A Local Analysis of the Free Boundary
Nov-Dec
27
Lec31: Interest Rates Models and Derivatives Products 29
Lec32: The Bond Pricing Equation 1
Lec33: Solution of the Bond Pricing Equation (BPE)
Dec
4
Lec34: Variation of the Solutions of BPEs
6
Lec35: Bond Options and Other Interest Rate Derivative Products
8
Lec36: Course Review.


Announcements: 
Yous marks for FINAL EXAM are available now: send me an e-mail to know your mark.
 

This page was updated on December 15 , 2006.