Lectures schedule (L01)

Tutorials schedule (T01)

Monday/Wednesday/Friday
12:0012:50am
(MS 317)

Thursday
9:009:50pm (MS 317) Thus, Jan 12&Feb 24, 2012NoTutorials 
Midterm
and Assignments:
There will be 1 Midterm (March 5 Monday, 12:00am, MS317) and 5
Assignments.
Final
Exam
Saturday, April 21,
3:305:30pm, 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, 12:0012:50 (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, 3:305:30pm, MS 317 
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:
BlackScholes PDE and Formulas (Chapter 8, sec. 8.28.3) Some Matlab Codes (QQ, lognormal, discrete asset path) 
Jan 
23 
Lec7: BlackScholes PDE and Formulas (Chapter 8, sec. 8.48.5)  25 
Lec8: Hedging (Chapter 9, sec. 9.29.3)  27 
Lec9: Hedging (Chapter 9, sec. 9.49.5) 
JanFeb 
30 
Lec10:
The Greeks (Chapter 10, sec. 10.210.3) 
1 
Lec11: The Greeks (Chapter 10, sec. 10.4)  3 
Lec12: More on the BSF (Chpater 11, sec. 11.211.3) 
Feb 
6 
Lec13: More on the BSF (Chpater 11, sec. 11.411.5)  8 
Lec14: Risk Neutrality (Chpater 12, sec. 12.212.3)  10 
Lec15:
Solving a Nonlinear Equation:
Bisection
(Chapter 13, sec. 13. 213.3) 
Feb 
13 
Lec16:
Solving a Nonlinear Equation:
Newton
(Chapter 13, sec. 13. 4) 
15 
Lec17: Implied Volatility (Chapter 14, sec. 14.214.3)  17 
Lec18: Implied Volatility (Chapter 14, sec. 14.414.5) 
FebMar 
27 
Lec19:
Monte Carlo Methods (Chapter 15, sec. 15.215.3) 
29 
Lec20: Monte Carlo Methods (Chapter 15, sec. 15.4)  2 
Lec21: Binomial Methods (Chapter 16, sec. 16.216.3) 
Mar 
5 
MIDTERM  7 
Lec22: Binomial Methods (Chapter 16, sec. 16.316.4)  9 
Lec23: American Options (Chapter 18, sec. 18.218.3) 
Mar 
12 
Lec24: American Options (Chapter 18, sec. 18.418.5)  14 
Lec25:
American
Options (Chapter 18, sec. 18.6) 
16 
Lec26: Historical Volatility (Chapter 20, sec. 20.220.4) 
Mar 
19 
Lec27: Historical Volatility (Chapter 20, sec. 20.520.6)  21 
Lec28: Monte Carlo: Variance Reduction by Control Variables (Chapter 22, sec. 22.122.2)  23 
Lec29: Monte Carlo: Variance Reduction by Control Variables (Chapter 22, sec. 22.322.5) 
Mar 
26 
Lec30: Finite Difference Methods (FDM) (Chapter 23, sec. 23.2)  28 
Lec31:
Finite Difference Methods
II (Chapter 23, sec. 23.323.4) 
30 
Lec32: Finite Difference Methods III (Chapter 23, sec. 23.523.6) 
Apr 
2 
Lec33: Finite Difference Methods IV (Chapter 23, sec. 23.7)  4 
Lec34: FDM V (Chapter 23, sec. 23.8)  6 
Good FridayNo Lecture 
Apr 
9 
Lec35: FDM for BS PDE (Chapter 24, sec. 24.12)  11 
Lec36: FDM for BS PDE (Chapter 24, sec. 24.3)  13 
Lec37: FDM for BS PDE (Chapter 24, sec. 24.4). Course Review 
Your
Marks for Final Exam and Final Grades are available. Send me email to know your mark. Some Formulas and Tables Assignment#1: DueJan 27, 2012, Fri, 12:50pm, MS317 Assignment#2: DueFeb 10, 2012, Fri, 12:50pm, MS317 Assignment#3: DueMar 2, 2012, Fri, 12:50pm, MS317 Assignment#4: DueMar 23, 2012, Fri, 12:50pm, MS317 Assignment#5: DueApr 13, 2012, Fri, 12:50pm, MS317 Table of Normal Distribution Table of Exp Function 
Assignment
Policy 