AMAT 581 (Winter 2006)
"Advanced Futures and Options"
Course Outline
Instructor:
Anatoliy Swishchuk
E-mail: aswish@math.ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours:
W: 12:00pm-13:00; F:10:00am-11:00am

Place:  MS522

Lectures Schedule

Wednesday
Friday
13-14:15 (75 minutes)
 
11am-12:15 (75 minutes)
 
Syllabus:
1) Stochastic Calculus and the Dynamics of Asset Prices
2) Martingale Theory and Risk-Neutral Valuation
3) Interest Rate Models
4) Energy and Commodity Markets
6) Value-at-Risk and Risk Management

 Important Class Dates:
First Class: Wednesday, 11, 2006, 13:00
Last day of class: Wed, April 12, 2006.
Winter Session Final Examinations: April 17-28, 2006
Recommended texts: 
          Lecture Notes    
Course Information Sheet
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/amat581W06.html/

Class work:
In-class lectures with typical examples (lecture notes will be posted on the webpage in the form of pdf-files
);
your computer must have an Adobe Acrobat reader (for free downloading see www.adobe.com).

Grading scheme (Course Evaluation):

Assignments, Project
Due Dates for Assignments and Project
Assignmnmets: 50%
A1:Jan 27; A2:Feb 10; A3:Feb 27; A4:Mar 10; A5:Mar 24 (in-class)
Project: 50 %
April 12, 2006 (in-class)


Tentative Lectures Schedule for AMAT 581
Month
Days
Wednesday/Friday
Jan
11/13
Lec1/2: Course Outline. Introduction to Options and Futures. Probability Spaces, Sigma Algebras, Stopping Times.
Jan
18/20
Lec3/4: Conditional Probabilities and Expectations: Definitions, Basic Properties. Discrete-Time Martingales, Sub- and Supermartingales: Definition and Examples. Martingale Transforms and Representation Theorem.
Jan
25/27
Lec5/6: Discrete (B,S)-Security Markets: Definitions and Basic Properties. Risk-Neutral Valuation: Cox-Ross-Rubinstein Formula. General (B,S)-Security Markets: Definition, Basic Properties.
Feb
1/3
Lec7/8: Continuous-Tine Martingales, Sub- and Supermartingales: Definition and Examples. Wiener Process and Poisson Process.  Stochastic Integration: Ito Integral.
Feb
8/10
Lec9/10: Stochastic Differential Equations and Ito Formula. Integration by Parts Formula. Martingale Representation Theorem in Continuous Time (Brownian Representation)  and Levy Characterization of Brownian Motion.
Feb
15/17
Lec11/12:  Girsanov Theorem. Continuous (B,S)-Security Markets: Definitions and Basic Properties.
Feb
22/24
Reading Week (no classes)
Mar
1/3
Lec13/14: Risk-Neutral Valuation,Black-Scholes Formula, Call-Put Parity, The Greeks.
Mar
8/10
Lec15/16: Stopping Times, Wald's Identities, American Options.
Mar
15/17
Lec17/18: Interest Rate Models I:  Modelling, Yield Curves, Bond Option Prices. The Ornstein-Uhlenbeck and Vasicek Models.
Mar
22/24
Lec19/20: Interest Rate Models II: The Cox-Ingersoll-Ross , Hull-White and Heath-Jarrow-Morton Models.
Mar
29/31
Lec21: Commodity Markets: Introduction (ppt).
Lec22:
Energy and Commodity Markets: Definitions and Examples, Modelling,  Main Statistical Instruments.I (pdf).
Apr
5/7
Lec23/24: Stochastic Modeling of Energy and Commodity Price Processes.
Apr
12
Lec25:  Value-at-Risk: Definition and Examples, Basic Calculations. Risk Management.

Announcements: 
5) Assignment #5: Due-March  24, 2006 (in-class)
4) Assignment #4: Due-March 10, 2006 (in-class)
3) Assignment #3: Due-February 27, 2006 (Drop-Off Box, MS552)
2) Assignment #2: Due-February 10, 2006 (in-class)
1) Assignment #1: Due-January 27, 2006 (in-class)

 
Your Marks for Projects and Final Marks Are Available Now. Send me e-mail to know your marks.
This page was updated on April 17, 2006.