Lectures schedule (L01)

Tutorials schedule (T01)

Monday/Wednesday/Friday
15:0015:50
(ST 59)

Friday 16:0016:50 (ST
59) 
Class
work:
Inclass lectures with typical examples (lecture notes will be posted
on
the webpage in the form of pdffiles);
your computer must have an Adobe Acrobat reader (for free downloading
see www.adobe.com).
Midterm
and Assignments:
There will be 1 Midterm (Nov 3, 2006) 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%

November 3, Fri, 15:0015:50 (ST59) 
Assignments (5)

20%=5x4%
(4% for each assignment)

Due dates: Oct 13, Oct 27, Nov 10, Nov 24, Dec 8 
Final Exam  50%  13 December, Wednesday, 8:00am10:00am, MS 319 
Month 
Day 
Monday 
Day 
Wednesday 
Day 
Friday 
Sep 
11 
Lec1:
Course Introduction. Introduction to Financial Markets and Derivatives 
13 
Lec2:
Introduction to Financial
Markets and Derivatives II 
15 
Lec3:
Martingales in DiscreteTime
(B,S)Security
Markets and Asset Price Random Walks 
Sep 
18 
Lec4: The Binomial Asset Pricing Model (BAPM) I  20 
Lec5:
The Binomial Asset Pricing Model (BAPM) II 
22 
Lec6:
General Binomial OneStep Asset Pricing Model (GBAPM): Summary 
Sep 
25 
Lec7: Ito's Lemma  27 
Lec8:
Review of the Model of Stock Price and Ito's Lemma II 
29 
Lec9:
Derivation of BlackScholes Partial
Differential Equation 
Oct 
2 
Lec10:
BlackScholes Equation,
Boundary and Final Conditions, BlackScholes
Formulae for European Options 
4 
Lec11:
Hedging in Practice, Implied
Volatility 
6 
Lec12:
Random Walks, Wiener and
Poisson Processes, Martingales in Continuous Time 
Oct 
9 
Thanksgiving Day (No
Lecture) 
11 
Lec13:
Probabilistic Derivation of BlackScholes Formula For European
Call Option 
13 
Lec14:
Partial
Differential Equations (PDE) 
Oct 
16 
Lec15:
Similarity
Solutions to the Heat (Diffusion) Equations 
18 
Lec16: Reduction of BlackScholes PDE to the Diffusion Equation  20 
Lec17:
Derivation
of the BlackScholes Formula by PDE Approach 
Oct 
23 
Lec18: Binary Options and Other Types of Options' Strategies  25 
Lec19: Variation of BlackScholes Model: Options on DividendPaying Assets  27 
Lec20: Forward and Fures Contracts on DividendPaying Assets 
OctNov 
30 
Lec21:
Options on Futures 
1 
Lec22:
Variations of BlackScholes Model: TimeDependent Parameters 
3 
Midterm 
Nov 
6 
Lec23: Stopping Times, American Options, Wald's Identities.  8 
Lec24:
Pricing of American Options for
Discrete
(B,S)Security Markets 
10 
Lec25:
Properties of American Derivatives
Securities 
Nov 
13 
Reading Day (No Lecture) 
15 
Lec26:
Stopping Times and American Options: Examples 
17 
Lec27:
American Options: PDE Approach I 
Nov 
20 
Lec28:
American Options: The Obstacle and Linear Complimentary Problems 
22 
Lec29:
American Call Options : Genaral
Results 
24 
Lec30: American Options: A Local Analysis of the Free Boundary 
NovDec 
27 
Lec31: Interest Rates Models and Derivatives Products  29 
Lec32: The Bond Pricing Equation  1 
Lec33: Solution of the Bond Pricing Equation (BPE) 
Dec 
4 
Lec34:
Variation of the Solutions of BPEs 
6 
Lec35:
Bond Options and Other Interest Rate Derivative Products 
8 
Lec36: Course Review. 
Yous marks for FINAL EXAM are available now: send me an email to know your mark. 
