MATH 425, spring 2018

Course information

• Instructor: Dr G.Berkolaiko, office: Blocker 625c, email: berko AT math.tamu.edu
• Lectures: TR 9:35-10:50, BLOC 149
• Course description (first day handout)
• Detailed course content.
• Homework and exam grades on eCampus.

Extras

• Get Matlab (free or cheap for Texas A&M Students) or Octave (open-source analogue of Matlab)
• Some websites with relevant quotes:
  • SPX quote on Chicago Board Options Exchange (enter SPX and press Submit)
  • SPY quote on Yahoo Finance
  • E-mini S&P 500 Futures on CME
• Other resources:
  • Options glossary.
  • Investopedia, for example Futures Fundamentals.
  • An illustration of CLT: sampling distributions.
• Projects (for honors contracts).
• Matlab demonstrations:
  • m_TreeExamples.m: examples of binomial trees
  • m_Tree_Choosing_ud.m: different choices of the parameters \(u\) and \(d\) (compares with Black-Scholes-Merton formula BSMcall.m)
  • m_TreeLimit_Lognormal.m: comparison between tree distribution and lognormal
  • m_AssetPriceModelWiener.m: numerical experiments with continuous asset price model
  • m_BSM_Hedging.m hedging an options portfolio using Black-Scholes formula (uses functions SimulatePricePath.m, BSMcall.m).
  • m_NVDA_Prices.m are close-to-close price movements log-normal? Uses NVDA20152018.mat and qqplot.m that substitutes the function from Matlab Stats Toolbox.
  • BSMiVolCall.m function computing implied volatility of an option.
• Past exams.
• Extra Notes:
  • 1-level trees.
  • Ito formulae with examples.

Homework

Exercises with stars next to them are compulsory for honors students.

• Exercises all-in-one
• Solutions have been posted on eCampus

1. HW1 Submit Tue, Jan 30: Exercises 1.1 - 1.7.
2. HW2 Submit Tue, Feb 6: Exercises 1.8 - 1.14.
3. Submit Thur, Feb 8 (optional): Corrected Quiz 1. You do not have to print it out, but if you submit on your own paper, you must include and sign the Aggie Honor statement.
4. HW3 Submit Tue, Feb 27: Exercises 2.1, 2.2, 2.4, 2.7, 2.9, 2.11, 2.5*.
5. HW4 Submit Tue, Mar 6: Exercises 3.2-3.9, 3.11.
6. HW5 Submit Tue, Apr 10: Exercises 4.1-4.5.
7. HW6 Submit Wed, May 2: Exercise 6.1 (Matlab mini-project).

This file was last modified on Wednesday, 10-Jan-2024 15:58:29 CST.