AMAT 483 (Winter 2012)
"Computational Methods in 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:
Zhang, LiFeng
MS 330
e-mail: lifzhang@ucalgary.ca
Tel.: (403)
220-4501

Place:  MS 317
Lectures Schedule and Tutorials 
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday  12:00-12:50am  (MS 317)
Thursday 9:00-9:50pm  (MS 317)
Thus, Jan 12&Feb 24, 2012-NoTutorials

Syllabus

Review of financial models
Monte-Carlo simulation and option pricing
Binomial and Trinomial trees for option pricing
Finite Difference methods for partial differential equations in finance
Time series analysis and parameter estimation
Applications

Course Information Sheet
 Important Class Dates:
First day of class: 12:00, Monday, January 9, 2012
  Assignment # 1:Due - Jan 27, Fri (after class)
  Assignment # 2: Due- Feb 10, Fri (after class)
Midterm: March 5, Mon, 12:00-12:50 (MS 317)
Assignment # 3: Due-Mar 2, Fri (after class)
  Assignment # 4: Due-Mar 23, Fri (after class)
  Assignment # 5: Due-Apr 13, Fri (after class)
Last day of class: 12:00, Friday, April 13, 2012
  Winter Session Final Examinations: April 16-25, 2012.
Final Exam:
Saturday, April 21, 3:30-5:30pm, MS 317

Recommended text:
'An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation' by Desmond J. Higham, Cambridge Univ. Press, 2004.
(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/amat483W12.html/

Midterm and Assignments:
There will be 1 Midterm (March 5 Monday, 12:00am, MS317) and 5 Assignments.

Final Exam
Saturday, April 21, 3:30-5:30pm, MS 317
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%
March 5, Monday, 12:00-12:50 (MS317)
Assignments (5)
20%=5x4% (4% for each assignment)
Due dates: Jan 27, Feb 10, Mar 2, Mar 23, Apr 13
Final Exam 50%  Saturday, April 21, 3:30-5:30pm, MS 317




Tentative Lectures Schedule for AMAT483W12
Month
Day
Monday
Day
Wednesday
Day
Friday
Jan
9
Lec1: Options (Chapter 1)
11
Lec2: Option Valuation Preliminaries (Chapter 2) 13
Lec3:  Random Variables (Chapter 3)
Jan
16
Lec4: Computer Simulation (Chapter 4, sec. 4.2) 18
Lec5: Computer Simulation (Chapter 4, sec. 4.3) 20
Lec6: Black-Scholes PDE and Formulas (Chapter 8, sec. 8.2-8.3)
Some Matlab Codes (Q-Q, log-normal, discrete asset path)
Jan
23
Lec7: Black-Scholes PDE and Formulas (Chapter 8, sec. 8.4-8.5) 25
Lec8: Hedging (Chapter 9, sec. 9.2-9.3) 27
Lec9: Hedging (Chapter 9, sec. 9.4-9.5)
Jan-Feb
30
Lec10: The Greeks (Chapter 10, sec. 10.2-10.3)
1
Lec11: The Greeks (Chapter 10, sec. 10.4) 3
Lec12: More on the BSF (Chpater 11, sec. 11.2-11.3)
Feb
6
Lec13: More on the BSF (Chpater 11, sec. 11.4-11.5) 8
Lec14: Risk Neutrality (Chpater 12, sec. 12.2-12.3) 10
Lec15: Solving a Nonlinear Equation: Bisection (Chapter 13, sec. 13. 2-13.3)
Feb
13
Lec16: Solving a Nonlinear Equation: Newton (Chapter 13, sec. 13. 4)
15
Lec17: Implied Volatility (Chapter 14, sec. 14.2-14.3) 17
Lec18:  Implied Volatility (Chapter 14, sec. 14.4-14.5)
Feb-Mar
27
Lec19: Monte Carlo Methods (Chapter 15, sec. 15.2-15.3)
29
Lec20: Monte Carlo Methods (Chapter 15, sec. 15.4) 2
Lec21: Binomial Methods (Chapter 16, sec. 16.2-16.3)
Mar
5
MIDTERM 7
Lec22: Binomial Methods (Chapter 16, sec. 16.3-16.4) 9
Lec23: American Options (Chapter 18, sec. 18.2-18.3)
Mar
12
Lec24: American Options (Chapter 18, sec. 18.4-18.5) 14
Lec25: American Options (Chapter 18, sec. 18.6)
16
Lec26: Historical Volatility (Chapter 20, sec. 20.2-20.4)
Mar
19
Lec27: Historical Volatility (Chapter 20, sec. 20.5-20.6) 21
Lec28:  Monte Carlo: Variance Reduction by Control Variables (Chapter 22, sec. 22.1-22.2) 23
Lec29: Monte Carlo: Variance Reduction by Control Variables (Chapter 22, sec. 22.3-22.5)
Mar
26
Lec30: Finite Difference Methods (FDM) (Chapter 23, sec. 23.2) 28
Lec31: Finite Difference Methods II (Chapter 23, sec. 23.3-23.4)
30
Lec32: Finite Difference Methods III (Chapter 23, sec. 23.5-23.6)
Apr
2
Lec33: Finite Difference Methods IV (Chapter 23, sec. 23.7) 4
Lec34: FDM  V (Chapter 23, sec. 23.8) 6
Good Friday-No Lecture
Apr
9
Lec35: FDM for BS PDE (Chapter 24, sec. 24.1-2) 11
Lec36: FDM for BS PDE (Chapter 24, sec. 24.3) 13
Lec37: FDM for BS PDE (Chapter 24, sec. 24.4). Course Review


Announcements: 
Your Marks for Final Exam and Final Grades are available.
Send me e-mail to know your mark.

Some Formulas and Tables
Assignment#1: Due-Jan 27, 2012, Fri, 12:50pm, MS317

Assignment#2: Due-Feb 10, 2012, Fri, 12:50pm, MS317
Assignment#3: Due-Mar 2, 2012, Fri, 12:50pm, MS317
Assignment#4: Due-Mar 23, 2012, Fri, 12:50pm, MS317
Assignment#5: Due-Apr 13, 2012, Fri, 12:50pm, MS317

Table of Normal Distribution
Table of Exp Function
 
Assignment Policy
This page was updated on April 24, 2012