Instructors: Erik van Erp, John W. Welborn.
Course on canvas.dartmouth.edu.⇗
Syllabus
|
Lecture |
Date |
Topic |
Reading(s) |
Prof |
Psets |
|
1 |
Tue Jan 7 |
The Bookmaker's Dilemma |
Baxter 0,1 |
JW |
|
|
2 |
Thu Jan 9 |
|
EvE |
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|
3 |
Tue Jan 14 |
Products, Markets, and Derivatives |
Wilmott 1,2 |
JW |
|
|
4 |
Thu Jan 16 |
Option Pricing Theory in the Binomial Tree |
EvE |
||
|
5 |
Tue Jan 21 |
Random Walks and Brownian Motion |
Baxter 3.1 |
EvE |
|
|
6 |
Thu Jan 23 |
American Options and Implied Distributions |
Natenberg 19, 24 |
JW |
|
|
7 |
Tue Jan 28 |
Quadratic Variation |
Baxter 3.2 |
EvE |
PS 1 due |
|
8 |
Thu Jan 30 |
Ito calculus |
Baxter 3.3 |
EvE |
|
|
9 |
Tue Feb 4 |
Partial Differential Equations |
Wilmott 6,7 |
JW |
|
|
10 |
Thu Feb 6 |
The Black-Scholes Formulae |
Wilmott 8 |
JW |
|
|
11 |
Tue Feb 11 |
Girsanov Theorem |
Baxter 3.4 |
EvE |
PS 2 due |
|
12 |
Thu Feb 13 |
The Greeks |
Wilmott 8 |
JW |
PS 3 |
|
13 |
Tue Feb 18 |
Overview of Volatility Modeling |
Wilmott 9 |
JW |
|
|
14 |
Wed Feb 19 |
Zoom X-Hour: Working with Financial Data |
JW |
||
|
15 |
Thu Feb 20 |
Martingales |
Baxter 2.3, 3.5, 3.6 |
EvE |
|
|
16 |
Tue Feb 25 |
Martingales as tradables (notes) |
Baxter 4.4 |
EvE |
PS 3 due |
|
17 |
Thu Feb 27 |
How to Delta Hedge |
Wilmott 10 |
JW |
|
|
18 |
Tue Mar 4 |
RNDs, smiles, and exotic options |
Baxter 3.7, 4.2 |
EvE |
|
|
|
Thu Mar 6 |
Final Project Presentations |
|
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|
|
Fri Mar 7 |
Final Exam starts @ 1:30 PM |
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Sun Mar 9 |
Final Projects Due @ Midnight |
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|
Tue Mar 11 |
Final Exam due @ Midnight |
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