Text: Concepts and practice of Mathematical Finance, by Mark Joshi
This text will not be available in the bookstore! Please buy a copy as soon as possible. You can find a copy for less than $50; check your favorite online price comparison engine, e.g. addall.com.Grading and other technical issues: see course information
No class March 5 or March 7. Vacation is March 8-11.
Lecture notes (produced by Brett Bernstein) are available.
| Assignment | Chapter | Problems | Date Due |
| 1 | (none) | click here | Friday, January 26 |
| 2 | (none) | click here | Wednesday, January 31 |
| 3 | 1 | 1.1-1.5 | Wednesday, January 31 |
| 4 | 2 | 2.1-2.4, 2.11,2.13, 2.15 | Friday, February 9 |
| 5 | 2 | click here | Friday, February 9 |
| 6 | 3-4 | click here | Wednesday, February 21 |
| 7 | 5 | 5.1,5.5,5.7,5.8,5.12 | Friday, March 23 |
| 8 | 6 | 6.1,6.2,6.3,6.4,6.7, 6.8 | Friday, April 13 |
| 9 | 8 | 8.2,8.3,8.4,8,6,8.9 | Friday, May 4 |
Notes on the homework: in 2.15, "now" means t = 0. Note that if "now" meant t1, then the contract would be a call option struck at the money. In 2.13, you need not prove your reformulations.
Watch for typos in 6.7; they may be corrected in your version of the book.
| Test | Material | Location | Date and Time |
| 1 | Ch. 1-4 | LN2205 | Friday March 2, in class |
| Final Exam | Entire Course | LNG335 | Wed. May 16, 11AM - 1PM |