Financial Mathematics 2
The plan for Tuesday October 5, 2010 Practical matters Forwards: Hull Sec. 1.6-8 Options: Hull Sec. 1.5, 1.8
The rest of Hull Ch. 1 is self-reading. (We'll get back to "futures".) Valuing forward contracts by (no-)arbitrage argume
Hand-out/in
A template exam-paper (pink.) Hull's Chapter 7 on swaps (or next week.) Course plan (blue) and these slides. And can I have your Course Works #3, please?
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November 25, 2010
MATH 2510: Fin. Math. 2
The Template Exam-Paper
17 numbered questions
Forward and futures contracts
(Long position) Boths are agreements to buy an underlying asset at future (delivery) date for a specific price. Futures contracts have some added institutional features most noticably daily settlement. Material: Hull Chapters
Hand-Outs, I
Hull's
Chapters 2, 3 and 5. Futures markets. Next week's topic. (Two-word version: think forward.) note about "Riding the yield curve". Fits surprisingly well w/ Course Work #2 -today's main topic.
November 18, 2010 MATH 2510: Fin. Math. 2
A
Hand-Outs, I
Graded
Course Works #2 (brown folder.) Nice work; more comments on Thursday. Course Work #3. Due (next) Thursday November 25 (green.) Student surveys; yellow. Fill out and give to me or Maths Taught Student Office. Attendence sheet (just the
Agenda
Recap: - A useful duration formula (CT1, Unit 13, Sec. 5.3) - Redington immunisation conditions (CT1, Unit 13, Sec. 5.5) A warning about immunisation
1 October 28, 2010 MATH 2510: Fin. Math. 2
Comments on Course Work #2: - Exercise 4.4 and other us
Agenda
Some duration formulas (CT1, Unit 13, Sec. 5.3) An aside on annuity bonds (Lando & Poulsen Sec. 3.3 attached to hand-out) Convexity (CT1, Unit 13, Sec. 5.4) Immunisation (CT1, Unit 13, Sec. 5.5)
1 October 26, 2010 MATH 2510: Fin. Math. 2
Duration
M
Agenda
A lot of hand-outs Comments to Course Work #1 The put-call parity (Hull Ch. 9, Sec. 4) Duration (CT1, Unit 13, Sec. 5.3) A few explicit formulas Generalization to non-flat yield curves
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October 21, 2010
MATH 2510: Fin. Math. 2
Today's Hand-Outs: C
Agenda
Recap:
Yield to maturity (or: to redemption). CT1, Unit 13, Sec. 4.2. Par yield. CT1 Unit 13, Sec. 4.3. And the solution of Q9 from the April 2009 CT1-exam. Messing w/ youd head: Something that isn't the yield curve. Estimating the yield curve by
Hand-In, Hand-Out
Course Works #1, please! In return you get
Workshop 2 solutions w/ comments Hull's Chapter 4 on interest rates Slides and an updated lecture plan
October 14, 2010 MATH 2510: Fin. Math. 2
1
Agenda
Recap:
Zero coupon bonds, spot and for
Interest Rates: The Big Picture
So far, we have assumed a single, constant interest rate. We may quote it discretely (i in CT1) or continuously ("as a force" in CT1). That is not realistic.
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October 12, 2010
MATH 2510: Financial Mathema
Danish Interest R
Financial Mathematics 2
More on forward contracts ala CT1, Unit 12. Recap: W/ constant force of interest (r; "continuity convinient") and no intermediate payments from the underlying ("base-case"), the no-arbitrage relation between spot (S) and forward (F
Hand-out
Test Exam #1 w/ answers. Hand-written is what you get for several reasons. Test Exam #2 (pink.) How do we play this? Cheat Sheet (yellow.) But for God's sake don't take the name literally. No course plan or slides.
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December 2, 2010
MATH 2510: F