Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Spring 2014
Math 5075 section 2
Financial Mathematics
Homework 1
Due Wednesday, September 20
1) You go out to the market and see that MMM stock is trading for $182.03 today and the
2 year forward price is $187.26. Assume MMM doesnt pay dividends. You also see
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Spring 2014
Math 5075
Mathematical Finance
Dan Mitchell
Lecture 1
9/6/17
Syllabus
Instructor
Dan Mitchell
Email: [email protected]
Office: Lind 356
Office hours: Tuesdays 2 4 PM, or by
appointment
Everything will be posted on Moodle
Syllabus
Lecture Notes
Homework
C
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Spring 2014
Math 5075
Mathematical Finance
Dan Mitchell
Lecture 4
9/18/17
Announcements
Homework 1 due in class Wednesday
Options with dividends
Forward and Futures pricing is in Chapter 5 of Hull
Determination of forward and futures prices
Option price bound is
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Spring 2014
Math 5075
Mathematical Finance
Dan Mitchell
Lecture 2
9/11/18
Announcements
Homework will be assigned on Wednesday
Forward Contract
Last class we talked about arbitrage of a forward
How did this work?
We formed a portfolio of a stock and a bond that h
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Spring 2014
Math 5075
Mathematical Finance
Dan Mitchell
Lecture 3
9/13/17
Announcements
Homework 1 posted today
Due in class next Wednesday
Material weve covered so far can be found in
Chapters 1,2,3,5 of Hull
Forwards with Dividends
Before, we had to buy a singl
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Fall 2014
Math 5075: Mathematics of Options, Futures, and
Derivative Securities I
Lecture 3: Hedging Strategies Using Futures (Ch. 3)
Lecture 3: Hedging Strategies Using Futures (Ch. 3)
Math 5075
Hedging Strategies Using Futures
Goal: use futures markets to reduce
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Fall 2014
Math 5075: Mathematics of Options, Futures, and
Derivative Securities I
Lecture 4: Hedging Strategies Using Futures (Ch. 3)
Lecture 4: Hedging Strategies Using Futures (Ch. 3)
Math 5075
Hedge Ratio h
The ratio of the size of the position taken in futures
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Fall 2014
Math 5075: Mathematics of Options, Futures, and
Derivative Securities I
Lecture 5: Interest Rates
School of Mathematics
University of Minnesota
Reading: Hull Chapter 4
Lecture 5: Interest Rates
Math 5075
Interest Rate and Credit Risk
Interest rate is the
Mathematics Of Options Futures And Derivative Securities I
MATH 5075

Fall 2014
Math 5075: Mathematics of Options, Futures, and
Derivative Securities I
Lecture 6: Interest Rates (cont.)
School of Mathematics
University of Minnesota
Reading: Hull Chapter 4
Lecture 6: Interest Rates (cont.)
Math 5075
Forward Rates
The forward rate is t