AMAT 481 (Fall 2011)
"Introduction to Mathematical Finance"
Course Outline
Instructor:

Anatoliy Swishchuk
E-mail: aswish@math.ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours: MF:11:00am-12:00pm
Marker:
Shahmoradi, Akbar
MS 477
e-mail: ashahmo@ucalgary.ca
Tel.: (403) 210-6413

Place:  ST  059
Lectures Schedule and Tutorials 
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday  10:00-10:50am  (ST 059)
 Thursday 12:00-12:50pm  (ST 059)
Thu, November 10, 2011-NoTutorial (Reading Day)

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 12, 2011
  Assignment # 1:Due - Sept 29, Thu (after tutorial)
  Assignment # 2: Due-Oct 13, Thu (after tutorial)
Midterm: October 24, Mon, 10:00-10:50 (ST059)
Assignment # 3: Due-Nov 3, Thu (after tutorial)
  Assignment # 4: Due-Nov 24, Thu (after tutorial)
  Assignment # 5: Due-Dec 8, Thu (after tutorial)
Last day of class: 10:00, Friday, December 9, 2011
  Fall Session Final Examinations: December 12-21, 2011.
Final Exam:
Friday, December 16, 3:30-5:30pm, MS211
Recommended text:
'Mathematics for Finance. An Introduction to Financial Engineering' by Marek Capinski and Tomasz Zastawniak, Springer, 2003
(you may buy it in U of C Bookstore)

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/amat481F11.html/

Midterm and Assignments:
There will be 1 Midterm (October 24, Monday, 10:00am, ST059) and 5 Assignments.

Final Exam: (Friday, December 16, 3:30-5:30pm, MS211)
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 24, Monday, 10:00-10:50 (ST059)
Assignments (5)
20%=5x4% (4% for each assignment)
Due dates: Sept 29, Oct 13, Nov 3, Nov 24, Dec 8
Final Exam 50%  Friday, December 16, 3:30-5:30pm, MS211




Tentative Lectures Schedule for AMAT481
Month
Day
Monday
Day
Wednesday
Day
Friday
Sep
9
Lec1: Introduction: A Simple Market Model (Ch.1, sec. 1.1--1.2)
Appendix: Intro to Probability Theory-Basics
11
Lec2: Introduction: A Simple Market Model (Ch.1, sec. 1.3--1.4)
13
Lec3: Introduction: A Simple Market Model (Ch.1, sec. 1.5--1.6) 
Sep
16
Lec4: Introduction: A Simple Market Model (Ch.1, sec. 1.6--1.7)  18
Lec5: Risk-Free Assets (Ch.2, sec. 2.1, 2.1.1-2.1.2) 20
Lec6:  Risk-Free Assets (Ch.2, sec. 2.1, 2.1.3-2.1.4)
Sep-Oct
23
Lec7: Risk-Free Assets (Ch.2, sec. 2.1, 2.1.5-2.2.1) 25
Lec8: Risk-Free Assets (Ch.2, sec. 2.1, 2.2.1-2.2.2) 27
Lec9: Risk-Free Assets (Ch.2, sec. 2.1, 2.2.3)
Oct
3
Lec10: Risky Assets (Ch.3, sec. 3.1.)
5
Lec11: Risky Assets (Ch.3, sec. 3.2.) 7
Lec12:  Risky Assets (Ch.3, sec. 3.2.1)
Oct
10
Thanksgiving (No Lecture)
12
Lec13: Risky Assets (Ch.3, sec. 3.2.2) 14
Lec14: Risky Assets (Ch.3, sec. 3.3.2)
Oct
17
Lec15: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.1-4.1.2)
19
Lec16: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.2-4.1.3) 21
Lec17:  Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.4-4.2)
Oct
24
MIDTERM 26
Lec18: Portfolio Management (Ch. 5, sec. 5.1-5.2) 28
Lec19: Portfolio Management (Ch. 5, sec. 5.2, 5.2.1)
Oct-Nov
31
Lec20: Portfolio Management (Ch. 5, sec. 5.3, sec. 5.3.1-5.3.2) 2
Lec21: Portfolio Management (Ch. 5, sec. 5.4, sec. 5.4.1-5.4.3) 4
Lec22: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.1)
Nov
7
Lec23: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.2, 6.2) 9
Lec24: Forward and Futures Contracts (Ch. 6, sec. 6.2, 6.2.1-6.2.2)
11
Reading Day (No Lecture)
Nov
14
Lec25: Options: General Properties (Ch. 7, sec. 7.1-7.2) 16
Lec26:  Options: General Properties (Ch. 7, sec. 7.3) 18
Lec27: Options: General Properties (Ch. 7, sec. 7.4, 7.4.1)
Nov
21
Lec28:  Options: General Properties (Ch. 7, sec. 7.4,7.4.2, 7.5) 23
Lec29: Option Pricing (Ch. 8, sec. 8.1, 8.1.1-8.1.2)
25
Lec30: Option Pricing (Ch. 8, sec. 8.1, 8.1.3-8.1.4)
Nov-Dec
28
Lec31: Option Pricing (Ch. 8, sec. 8.2) 30
Lec32: Option Pricing (Ch. 8, sec. 8.3) 2
Lec33: Financial Engineering (Ch. 9, sec. 9.1. 9.1.1-9.1.2)
Dec
5
Lec34: Financial Engineering (Ch. 9, sec. 9.1. 9.1.3, sec. 9.2) 7
Lec35: Financial Engineering (Ch. 9, sec.  9.2, 9.2.1-9.2.2) 9
Lec36: Financial Engineering (Ch. 9, sec.  9.3)


Announcements: 

Assignment#5: Due-December 8, 2011, Thu, 12:50pm, ST59
Assignment#4: Due-November 24, 2011, Thu, 12:50, ST59
Assignment#3: Due-November 3, 2011, Thu, 12:50,ST59
Assignment#2: Due-October 13, 2011, Thu, 12:50pm, ST59

Assignment#1: Due-September 29, 2011, Thu, 12:50pm, ST59

 

 
Assignment Policy
This page was updated on December 21, 2011.