The mathematical theory associated with asset price dynamics; binomial pricing models; Black-Scholes analysis; hedging; volatility smile; implied volatility trees; implied binomial trees. Prerequisites: MATH 172 or equivalent; MATH 308 or equivalent; basic probability.
Know about the mathematical theory associated with asset price dynamics; binomial pricing models; Black-Scholes analysis; hedging; volatility.
3 credits
Dr Gregory Berkolaiko, Blocker 625c.
Email: berko AT math.tamu.edu
TR 9:35-10:50, BLOC 149
Mondays 10:10-11, 3-4 and by appointment.
Midterm exam: Thursday, March 8 (regular class time and place). Final exams: Thursday, May 3, 12:30–2:30pm (regular class place).
Based on homework; Feb 1 and Mar 29.
There may also be pop quizzes, whose grades will be added to the pool of HW grades.
Homework is posted on the course homepage, approximately bi-weekly. At least one homework will involve working with stock market data (Matlab recommended).
The following grade breakdown will be used:
| Grade | Percentage | Grade Ingredients: | ||
| A | 85% and more | Midterm | 30% | |
| B | 75% and more | Homeworks and Quizzes | 20% | |
| C | 65% and more | Final exam | 50% | |
| D | 55% and more | |||
| F | less than 55% | |||
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