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Math 174 - Summer 11

Math 174 - Summer 11 - exams Weekly quizzes will be given...

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Math 174: General Course Outline Summer 2011  Course description and learning outcomes Financial Economics  This course is designed to introduce students to basic concepts of financial  economics including interest rate models, rational valuation of derivative  securities and risk management techniques. My aim is to cover the syllabus  for the Society of Actuaries’ MFE exam. Instructor Loong Kong  --  Office 5222  ; hours Wednesdays and Fridays 2p-3p --  Email:  [email protected];   daytime phone: (310) 910-2684 Textbook  “Derivatives Market” by Robert McDonald, Addison Wesley.  ActuarialBrew 2011 Question set Schedule of Lectures The following schedule, with textbook chapters and topics is based on 10  lectures.  The remaining  two classroom meetings are for midterm and final 
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Unformatted text preview: exams. Weekly quizzes will be given during Tuesday’s discussion session Lecture Chapter Topics 1 9.1-3 Put-Call Parity, comparing Options 2 10.1-2 Binomial Tree - stocks 10.3-5 Binomial Tree – multiple periods 3 11.1-4 Risk-Neutral Pricing and Misc topics 4 12.1-2 Black-Scholes Formula 5 12.3 Black-Scholes Formula - Greeks 12.4-5 B-S Formula: application and volatility 6 13 Delta Hedging 7 14 Exotic Options 8 18 Lognormal distribution 20.1-4 Brownian Motion 9 20.5-7 Ito’s Lemma & misc topics 21.1-2, 22.1-2, 23.1-2 10 24.4-5 Binomial Tree for interest rates 24.1-3 Black Formula, Vasicek and CIR Grading policy Mid-term exam 40% (tentative 8/19) Final exam 45% (9/9) Quizzes, Attendance, Participation 15%...
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Math 174 - Summer 11 - exams Weekly quizzes will be given...

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