AMAT 481 (Fall 2010)
"Introduction to Mathematical Finance"
Course Outline
Instructor:
Anatoliy Swishchuk
E-mail: aswish@math.ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours: MWF:11:00pm-12:00

Place:  ST  59
Lectures Schedule and Tutorials 
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday  10:00-10:50  (ST 59)
 Thursday 12:00-12:50  (ST 59)

Syllabus
Introduction: A Simple Market Model

Risk-free Assets
Risky Assets
Discrete Time Market Models
Portfolio Management
Forward and Futures Contracts
Options: General Properties
Option Pricing
Financial Engineering
Course Information Sheet
 Important Class Dates:
First day of class: 10:00, Monday, September 13, 2010
  Assignment # 1:Due - Sept 30, Thu (after tutorial)
  Assignment # 2: Due-Oct 14, Thu
Midterm: October 25, Mon, 10:00-10:50 (ST59)
Assignment # 3: Due-Nov 4, Thu
  Assignment # 4: Due-Nov 25, Thu
  Assignment # 5: Due-Dec 9, Thu
Last day of class: 10:00, Friday, December 10, 2010.
  Fall Session Final Examinations: December 13-21, 2010;
Final Exam:
Wednesday, December 15, 8:00-10:00am, ST59


Recommended text:
'Mathematics for Finance. An Introduction to Financial Engineering' by Marek Capinski and Tomasz Zastawniak, Springer, 2003


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/amat481F2010.html/

Midterm and Assignments:
There will be 1 Midterm (October 25, Monday, 10:00am, ST59) 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%
October 25, Monday, 10:00-10:50 (ST59)
Assignments (5)
20%=5x4% (4% for each assignment)
Due dates: Sept 30, Oct 14, Nov 4, Nov 25, Dec 9
Final Exam 50%  Wednesday, December 15, 8:00-10:00am, ST59


Tentative Lectures Schedule for AMAT481

Day
Monday
Day
Wednesday
Day
Friday

13
Lec1: Introduction: A Simple Market Model (Ch.1, sec. 1.1--1.2)
15
Lec2: Introduction: A Simple Market Model (Ch.1, sec. 1.3--1.4)
17
Lec3: Introduction: A Simple Market Model (Ch.1, sec. 1.5--1.6) 
Sep
20
Lec4: Introduction: A Simple Market Model (Ch.1, sec. 1.6--1.7)  22
Lec5: Risk-Free Assets (Ch.2, sec. 2.1, 2.1.1-2.1.2) 24
Lec6:  Risk-Free Assets (Ch.2, sec. 2.1, 2.1.3-2.1.4)
Sep-Oct
27
Lec7: Risk-Free Assets (Ch.2, sec. 2.1-2.2, 2.1.5-2.2.1) 29
Lec8: Risk-Free Assets (Ch.2, sec. 2.2, 2.2.2) 1
Lec9: Risk-Free Assets (Ch.2, sec. 2.2, 2.2.3)
Oct
4
Lec10: Risky Assets (Ch.3, sec. 3.1.)
6
Lec11: Risky Assets (Ch.3, sec. 3.2.) 8
Lec12:  Risky Assets (Ch.3, sec. 3.2.1)
Oct
11
Thanksgiving (No Lecture)
13
Lec13: Risky Assets (Ch.3, sec. 3.2.2) 15
Lec14: Risky Assets (Ch.3, sec. 3.3.2)
Oct
18
Lec15: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.1-4.1.2)
20
Lec16: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.2-4.1.3) 22
Lec17:  Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.4-4.2)
Oct
25
MIDTERM 27
Lec18: Portfolio Management (Ch. 5, sec. 5.1-5.2) 29
Lec19: Portfolio Management (Ch. 5, sec. 5.2, 5.2.1)
Nov
1
Lec20: Portfolio Management (Ch. 5, sec. 5.3, sec. 5.3.1-5.3.2) 3
Lec21: Portfolio Management (Ch. 5, sec. 5.4, sec. 5.4.1-5.4.3) 5
Lec22: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.1)
Nov
8
Lec23: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.2, 6.2) 10
Lec24: Forward and Futures Contracts (Ch. 6, sec. 6.2, 6.2.1-6.2.2)
12
Reading Day (No Lecture)
Nov
15
Lec25: Options: General Properties (Ch. 7, sec. 7.1-7.2) 17
Lec26:  Options: General Properties (Ch. 7, sec. 7.3) 19
Lec27: Options: General Properties (Ch. 7, sec. 7.4, 7.4.1)
Nov
22
Lec28:  Option Pricing (Ch. 8, sec. 8.1, 8.1.1-8.1.2) 24
Lec29: Option Pricing (Ch. 8, sec. 8.1, 8.1.3-8.1.4): Cox-Ross-Rubinstein Formula
26
Lec30: Option Pricing (Ch. 8, sec. 8.1, 8.1.4, 8.2)
Nov-Dec
29
Lec31: Option Pricing (Ch. 8, sec. 8.3): Black-Scholes Formula 1
Lec32: Option Pricing (Ch. 8, sec. 8.3)
(Tables of Normal Distributions and Exp Function)
3
Lec33: Financial Engineering (Ch. 9, sec. 9.1. 9.1.1-9.1.2)
Dec
6
Lec34: Financial Engineering (Ch. 9, sec. 9.1. 9.1.3, sec. 9.2) 8
Lec35: Financial Engineering (Ch. 9, sec.  9.2, 9.2.1-9.2.2) 10
Lec36: Financial Engineering (Ch. 9, sec.  9.3)
 

Announcements: 
  Your Marks for Final and Letter Grades are Available Now.
Send me E-mail to Know Your Marks.






Assignment#5: Due-Thursday, December 9, 2010 (12:50pm, ST59)
Assignment#4: Due-Thursday, November 25, 2010 (12:50pm, ST59)

Assignment#3: Due-Thursday, November 4, 2010 (12:50pm, ST59)

Assignment#2: Due-Thursday, October 14, 2010 (12:50pm, ST59)

Assignment#1: Due-Thursday, September 30, 2010 (12:50pm, ST59)

Assignment Policy
 

This page was updated on December 16 , 2010.