AMAT 481 (Fall 2017)
"Introduction to Mathematical Finance"
Course Outline
Instructor:
Anatoliy Swishchuk
E-mail: aswish@ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours: MW: 11am-12pm

Teaching Assistant:
Yi (Ivy) Zhang
(MS 388);
e-mail: yi.zhang@ucalgary.ca
Tel.: (403) 210-8456
Office Hours: Thursday-1-2pm

Place:  MS 427
Lectures Schedule
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday:  10:00-10:50am  MS427
Thursday: 8:00-8:50am, MS427
(first tutorial: Sept 21)

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 11, 2017
  Assignment # 1:Due - Sept 29, Fri (after lecture)
  Assignment # 2: Due-Oct 13, Fri (after lecture)
Midterm: October 23, Mon, 10:00-10:50 (MS427)
Assignment # 3: Due-Nov 3, Fri (after lecture)
  Assignment # 4: Due-Nov 24, Fri (after lecture)
  Assignment # 5: Due-Dec 8, Fri (after lecture)
Last day of class: 10:00, Friday, December 8, 2017
  Fall Session Final Examinations: December 11-21, 2017.
Final Exam:
Wed, December 13, 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/amat481Fall2017.html/

Midterm and Assignments:
There will be 1 Midterm (October 23, 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 23, Monday, 10:00-10:50 (MS427)
Assignments (5)
25%=5x5% (5% for each assignment)
Due dates: Sept 29, Oct 13, Nov 3, Nov 24, Dec 8
Final Exam 45%  Wed, December 13, 8:00-10:00am, Room-MS 427

Tentative Lectures Schedule for AMAT 481
Month
Day
Monday
Day
Wednesday
Day
Friday
Sep
11
Lec1: Introduction: A Simple Market Model (Ch.1, sec. 1.1--1.2)
Complimentary Notes: Basics in Probability
13
Lec2: Introduction: A Simple Market Model (Ch.1, sec. 1.3--1.4)
15
Lec3: Introduction: A Simple Market Model (Ch.1, sec. 1.5--1.6) 
Sep
18
Lec4: Introduction: A Simple Market Model (Ch.1, sec. 1.6--1.7)  20
Lec5: Risk-Free Assets (Ch.2, sec. 2.1, 2.1.1-2.1.2) 22
Lec6:  Risk-Free Assets (Ch.2, sec. 2.1, 2.1.3-2.1.4)
Sep
25
Lec7: Risk-Free Assets (Ch.2, sec. 2.1, 2.1.5-2.2.1) 27
Lec8: Risk-Free Assets (Ch.2, sec. 2.1, 2.2.1-2.2.2) 29
Lec9: Risk-Free Assets (Ch.2, sec. 2.1, 2.2.3)
Oct
2
Lec10: Risky Assets (Ch.3, sec. 3.1.)
4
Lec11: Risky Assets (Ch.3, sec. 3.2.) 6
Lec12:  Risky Assets (Ch.3, sec. 3.2.1)
Oct
9

Thanksgiving (No Lecture)
11
Lec13: Risky Assets (Ch.3, sec. 3.2.2) Lec14: Risky Assets (Ch.3, sec. 3.3.2)
Oct
16
Lec15: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.1-4.1.2) 18
Lec16: Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.2-4.1.3) 20
Lec17:  Discrete Time Market Models (Ch. 4, sec. 4.1., 4.1.4-4.2)
Oct
23
MIDTERM 25
Lec18: Portfolio Management (Ch. 5, sec. 5.1-5.2) 27
Lec19: Portfolio Management (Ch. 5, sec. 5.2, 5.2.1)
Oct-Nov
30
Lec20: Portfolio Management (Ch. 5, sec. 5.3, sec. 5.3.1-5.3.2) 1
Lec21: Portfolio Management (Ch. 5, sec. 5.4, sec. 5.4.1-5.4.3) 3
Lec22: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.1)
Nov
6
Lec23: Forward and Futures Contracts (Ch. 6, sec. 6.1, 6.1.2, 6.2
8
Lec24: Forward and Futures Contracts (Ch. 6, sec. 6.2, 6.2.1-6.2.2)
10

Reading Day (No Lecture)
Nov
13
Reading Day (No Lecture) 15
Lec25:  Options: General Properties (Ch. 7, sec. 7.1-7.3) 17
Lec26: Options: General Properties (Ch. 7, sec. 7.4, 7.4.1,7.4.2,7.5)
Nov
20
Lec27:  Options Pricing: Bounds for Option Prices (Ch.8, 8.1.1) 22
Lec28: Option Pricing: Binomial Model (Ch. 8, sec. 8.1, 8.1.1-8.1.2)
24
Lec29: Option Pricing: CRR Formula (Ch. 8, sec. 8.1, 8.1.3-8.1.4)
Nov-Dec
27
Lec30: Option Pricing: American Options (Ch. 8, sec. 8.2) 29
Lec31: Option Pricing: Black-Scholes Formula (BSF) (Ch. 8, sec. 8.3) 1
Lec32: Option Pricing: Derivation and Interpretation of BSF 
Dec
4
Lec33: Financial Engineering (Ch. 9, sec. 9.1, 9.11-9.1.2, 9.1.3, sec. 9.2) 6
Lec34: Financial Engineering (Ch. 9, sec.  9.2, 9.2.1-9.2.2) 8
Lec35: Financial Engineering (Ch. 9, sec.  9.3). Course Review.


Announcements: 

Final Exam:
Wed, December 13, 8:00-10:00am, Room-MS 427
Formula Sheet and Tables for Final
Office Hours Before the Final: MT: 12-1pm
*
You may pick up your A#5 today, December 12,
between 12pm and 2pm, MS552
*

Your Final Marks Will be Posted Here:

Marks: 5Assignments+Midterm+FinalExam=FinalGrades
*
Tutorial 12, December 7, 8:00-8:50am, MS 427
Tutorial 11, November 30, 8:00-8:50am, MS 427
Tutorial 10: November 23, 8:00-8:50am, MS 427
Tutorial 9: November 16, 8:00-8:50am, MS 427
Tutorial 8: November 9, 8:00-8:50am, MS427
Tutorial 7: November 2, 8:00-8:50am, MS 427
Tutorial 6: October 26, 8:00-8:50am, MS427
Tutorial 5: October 19, 8:00-8:50am, MS427
Tutorial 4: October 12, 8:00-8:50am, MS427
Tutorial 3: October 5, 8:00-8:50am, MS 427
Tutorial 2: September 28, 8:00-8:50am, MS 427
Tutorial 1: September 21, Thursday, 8:00-8:50am, MS 427

*
Please, use your @ucalgary.ca email to communicate with your instructor and TA
 
Assignment#5: Due-December 8, Fri, MS427 (after lecture)
Assignment#4: Due-November 24, Fri, MS427 (after lecture)
Assignment#3: Due-November 3, Fri, MS427 (after lecture)

Assignment#2: Due-October 13, Fri, MS427 (after lecture)
Assignment#1: Due-September 29, Fri, MS 427 (after lecture)

Assignments Policy
This page was updated on December 14, 2017.