890-11-info - Introduction to Mathematical Finance (STOR...

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Introduction to Mathematical Finance (STOR 890, Spring 2011) TTH 12:30-1:45, Hanes 130 Website: www.stat.unc.edu/faculty/cji/890-11.htm Instructor: Chuanshu Ji, Hanes 301, 962-3917, [email protected] Office hours: by appointment Grader: none Grading policy: For P: regular class attendance, completion of homework assignments; For H: same as above, plus taking the midterm and the final exams. Midterm Exam: Tu. 3/1, in class; Final Exam: 3 hours to be scheduled; Both exams are closed- book, one sheet of notes (double-sided) is allowed for the midterm and two sheets of notes for the final. This course provides students with a necessary background in financial economics (return and risk, risk premium, equity and fixed-income derivatives, asset pricing and hedging, value at risk, market microstructure), related mathematical models (Black-Scholes theory and its extensions, tree models and jump-diffusion models, sequential trade models, strategic trade models), and statistical inference procedures (volatility modeling including ARCH/GARCH
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This note was uploaded on 11/17/2011 for the course STOR 890 taught by Professor Staff during the Spring '08 term at UNC.

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