Daily Schedule

The following is a tentative schedule for the course. Please check back regularly for updates as the term progresses. Hull chapters are from 3rd edition.


Week Date Topics Description
1 Sep 11 - 15 Basic Terminology, Contingent Claims
Forwards, Options
Refer to Chap 1, 3, 5, 9, 11 of Hull
Chaps 1 and 3.3 of Wilmott
2 Sep 18 - 22 Options, Consequences of No Arbitrage Chap 1, 3, 5, 9, 11 of Hull
Chaps 1 and 3.3 of Wilmott
Chap 1, 2 of Joshi
3 Sep 25 - 29 Binomial and Trinomial one-period Model Chap 12.1, 12.2 - Hull
Chap 1, Shreve; Chap 3.1 Joshi
4 Oct 2 - 6 Multiperiod Binomial Tree Chap 1, Shreve
Chap 3.4, Joshi
5 Oct 9 - 13 Log normal property of Stock prices.
Approximation using Binomial Trees
Chapter 3.5 -3.8 of Joshi
Chap 10,11 Hull
6 Oct 16 - 20 Stochastic Differential Equations. Ito's Lemma.
Black Scholes PDE
Chap 10,11 Hull
Chap 3.6 -3.8, Joshi
7 Oct 23 -27 Black Scholes No Class meeting
On Oct 23 and 25
7 Oct 27 Implied Volatility, Delta Hedging 3.7, 4.1 - 4.3 Joshi, 11.10, 11.11, 14.4, 14.5 Hull
8 Oct 30 - Nov 3 Greeks and Hedging. 4.4 Joshi, Chapter 14, Hull.
9 Nov 6 Introduction to interest based instruments.
Bonds, yield-to-maturity, duration, spot VS forward rates .
Chapter 4.1-4.2,4.6,, Hull
9 Nov 8,10 Forward rate agreements, Swaps, Caps Chap 5.1, 5.3 Hull, Chap 13.1 -13.3 Joshi
10 Nov 13 Review
Final Nov 14 FINAL EXAM 1:15 - 3:15 pm Kemeny 120