Investment Decision Modeling (Introduction to Mathematical Finance)
M. C. Pinar
and Recommended Resources:
- Main Text:
Arbitrage Theory in Continuous Time by T. Björk, Oxford
University Press, second edition, 2004.
for Finance, An Introduction to Financial Engineering, by M
Capinski and T. Zastawniak, Springer-Verlag, 2003 (Recommended only).
The course is intended as an introduction to the modern techniques of
mathematical finance. We will closely follow the
book by Björk, by far the best pedagogical source available. No
prerequisites, except some familiarity with calculus, linear algebra, probability and
optimization, are assumed.
and Problem Formulation (1 week)
- The Binomial
Model (2 weeks)
One-Period Models (2 weeks)
Integrals (2 weeks), slides
Differential Equations (2 weeks)
Dynamics (1 week)
Pricing (2 weeks)
Completeness and Hedging (1 week)
Parity Relations and Delta Hedging (1 week)
Policy on Homework and Exams
- Your success
in the course depends greatly on doing the homework exercises on your
- I will
distribute the hw questions in class, usually on Mondays.
- Late hws will
not be accepted.
- Cheating in
homework and exams has serious consequences. Therefore, all work
submitted should reflect your own effort.
| Midterm Test:
||30 % Date: April 4, 2006
||30 % Date and Place: May 24, 2006, 9:40 am, EA-322