Syllabus Math. 425, Section 500, Spring 2012
TTh: 5:30 -- 6:45 pm., Blocker 161

Instructor: Michael Stecher

Office: Milner 126, stecher@math.tamu.edu

Office hours: Tuesdays and Thursdays from 10:00 to 11:30 in Milner 126, and by appointment.

Text: The Mathematics of Finance: Modeling and Hedging by Joseph Stampfli and Victor Goodman; this text is out of print, but I'm sure that you will be able to find it on-line. Turns out that the text is available from the American Mathematical Society (AMS). A link to the text is:

http://www.ams.org/bookstore-getitem/item=AMSTEXT-7

Calculator: You will need some sort of programmable calculator, and access to a spreadsheet.

We will have three exams, at dates to be announced. Each exam will be worth 100 points, note that all exams are cummulative. Homework assignments will be given throughout the semester, and they will be worth 100 points. An A is 90% or better, a B is 80% or better, etc. Thus, to get a C you will need to accumulate 70% of 400 points or 280 points.

The references below may be usefull:

The Mathematics of Financial Derivatives by Wilmott, Howison, and DeWynne,
Financial Options - From Theory to Practice edited by Figlewski, Silber and Subrahmanyam,
Financial Calculus - An Introduction to Derivative Pricing by Baxter and Rennie,
Mathematics for Finance: An Introduction to Financial Engineering by Marek Capinski and Tomasz Zastawniak.

We will cover, in the given order, the following chapters from the text by Stampfli and Goodman:

1(just through 1.4), 2, 3, 4, 5, 6, 7, 8, and 9.

I'm not sure exactly how far we can get, but I feel confident that we will at least get through chapter 5.

The following is a tentative weekly schedule of the material we will be covering.

Week
Material
Suggested Problems to Work
Jan. 16
1.1 - 1.2
All exercises in the text.
Jan. 23
1.2 -- 1.4
  
Jan. 30
2.1 -- 2.3
  
Feb. 6
2.4 -- 2.7
  
Feb. 13
Exam I, 3.1
 The material in Chapter 4 will be interwoven with our discussion of Chapter 3.
Feb. 20
3.2 -- 3.4
  
Feb. 27
3.5 -- 3.7
  
March 5
Chap IV, Exam II
  
March 12
Spring Break
  
March 19
 5.1 -- 5.3  
March 26
 5.4 -- 5.6
April 2
 Chap VI (maybe), 7.1, The 2nd is the last day to Q-drop. Friday the 6th is a reading day.
April 9
 7.2 -- 7.5  
April 16
Chaps VIII and IX (?) Saturday the 21st is Muster
April 23
Exam III

 
April 30 Tuesday May 1has been redefined as a Friday. Class will not meet this week.
Have a great summer.