AMAT 481 (Fall 2013)
"Introduction to Mathematical Finance"
(Mathematical Finance @ Mathematics & Statistics)
Course Outline
Instructor:
Anatoliy Swishchuk
E-mail: aswish@ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours: M:11:00am-1:00pm; W: 11am-12pm & 1-2pm
Teaching Assistant:
Zachary Moyer (MS 342; e-mail: zmim@shaw.ca; tel: (403) 220-4541)

Place:  MS 427
Lectures Schedule and Tutorials 
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday  10:00-10:50am  (MS427)
R: 11:00-11:50am, MS 371
(No Tutorial on Thu, Sept 12)

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 9, 2013
  Assignment # 1:Due - Sept 26, Thu (after tutorial)
  Assignment # 2: Due-Oct 10, Thu (after tutorial)
Midterm: October 21, Mon, 10:00-10:50 (MS427)
Assignment # 3: Due-Oct 31, Thu (after tutorial)
  Assignment # 4: Due-Nov 21, Thu (after tutorial)
  Assignment # 5: Due-Dec 5, Thu (after tutorial)
Last day of class: 10:00, Friday, December 6, 2013
  Fall Session Final Examinations: December 9-19, 2013.
Final Exam:
December 11, Wednesday, 8:00-10:00am, Room-MS 427

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

(also interesting to read: 'Don't Blame The Quants' by Steven Shreve)

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://people.ucalgary.ca/~aswish/amat481F2013.html/

Midterm and Assignments:
There will be 1 Midterm (October 21, Monday, 10:00am, MS427) 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 21, Monday, 10:00-10:50 (MS427)
Assignments (5)
20%=5x4% (4% for each assignment)
Due dates: Sept 26, Oct 10, Oct 31, Nov 21, Dec 5
Final Exam 50%  December 11, 2013, Wednesday, 8:00-10:00am, Room-MS 427


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: Basic Probability
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
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)
Sept-Oct
30
Lec10: Risky Assets (Ch.3, sec. 3.1.)
2
Lec11: Risky Assets (Ch.3, sec. 3.2.) 4
Lec12:  Risky Assets (Ch.3, sec. 3.2.1)
Oct
7
Lec13: Risky Assets (Ch.3, sec. 3.2.2) 9
Lec14: Risky Assets (Ch.3, sec. 3.3.2) 11
Lec15: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.1-4.1.2)
Oct
14
Thanksgiving (No Lecture) 16
Lec16: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.2-4.1.3) 18
Lec17:  Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.4-4.2)
Oct
21
MIDTERM 23
Lec18: Portfolio Management (Ch. 5, sec. 5.1-5.2) 25
Lec19: Portfolio Management (Ch. 5, sec. 5.2, 5.2.1)
Oct-Nov
28
Lec20: Portfolio Management (Ch. 5, sec. 5.3, sec. 5.3.1-5.3.2) 30
Lec21: Portfolio Management (Ch. 5, sec. 5.4, sec. 5.4.1-5.4.3) 1
Lec22: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.1)
Nov
4
Lec23: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.2, 6.2)
(A Scenario with Futures Prices)
6
Lec24: Forward and Futures Contracts (Ch. 6, sec. 6.2, 6.2.1-6.2.2)
8
Lec25: Options: General Properties (Ch. 7, sec. 7.1-7.2)
Nov
11
Reading Day (No Lecture) 13
Lec26:  Options: General Properties (Ch. 7, sec. 7.3) 15
Lec27: Options: General Properties (Ch. 7, sec. 7.4, 7.4.1,7.4.2,7.5)
Nov
18
Lec28:  Options Pricing (Ch.8, 8.1.1) 20
Lec29: Option Pricing (Ch. 8, sec. 8.1, 8.1.1-8.1.2)
22
Lec30: Option Pricing (Ch. 8, sec. 8.1, 8.1.3-8.1.4)
Nov-Dec
25
Lec31: Option Pricing (Ch. 8, sec. 8.2) 27
Lec32: Option Pricing (Ch. 8, sec. 8.3) 29
Lec33: Financial Engineering (Ch. 9, sec. 9.1. 9.1.1-9.1.2)
Dec
2
Lec34: Financial Engineering (Ch. 9, sec. 9.1. 9.1.3, sec. 9.2) 4
Lec35: Financial Engineering (Ch. 9, sec.  9.2, 9.2.1-9.2.2) 6
Lec36: Financial Engineering (Ch. 9, sec.  9.3)


Announcements: 
Tutorial#12: Thu, Dec 5, 11:00-11:50am, MS 371 (A#5 Due!)
Tutorial#11: Thu, Nov 28, 11:00-11:50am, MS 371
Tutorial#10:Thu,Nov 21, 11:00-11:50am, MS 371(A#4 Due!)
Tutorial#9:Thu,Nov 14, 11:00-11:50am, MS 371

Tutorial#8:Thu,Nov 7, 11:00-11:50am, MS371

Tutorial#7: Thu, Oct 31, 11:00-11:50am, MS371 (A#3 Due!)
Tutorial#6: Thu, Oct 24, 11:00-11:50am, MS371
Tutorial#5: Thu, Oct 17, 11:00-11:50am, MS371
Tutorial#4: Thu, Oct 10, 11:00-11:50am, MS371 (A#2 due!)
Tutorial#3: Thu, Oct 3, 11:00-11:50am, MS371
Tutorial#2: Thu, Sept 26, 11:00-11:50am, MS 371 (A#1 due!)

Tutorial#1: Thu, Sept 19, 11:00-11:50am, MS 371

Solutions to the Midterm
MarksAmat481Fall2013 (+FinalExam&FinalGrades(Unofficial))
 
Assignment#5: Due-December 5, R, MS371, 11:50am (after tutorial)
Assignment#4: Due-November 21, R, MS371, 11:50am (after tutorial)
Assignment#3: Due-October 31, R, MS371, 11:50am (after tutorial)

Assignment#2: Due-October 10, R, MS371, 11:50am (after tutorial)

Assignment#1: Due-September 26, R, MS 371, 11:50am (after tutorial)

Assignments Policy
This page was updated on December 12, 2013.