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MA370A: Financial Mathematics II (Fall 2020)

Jan. 15, 2020
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Calendar Description

Discrete-time financial models and riskless asset pricing. Notion of arbitrage, martingale measure, and complete and incomplete markets. Fundamental theorems of asset pricing. Static and dynamic hedging and replication. Change of numeraire and equivalent martingale measures. Introduction to options and risk-neutral pricing. Stopping times and American option pricing. Introduction to the Black-Scholes theory and sensitivity analysis for options. Optional topics: introduction to single-factor interest rate modelling and pricing of fixed income securities.

Prerequisites

MA270.

Co-requisites

ST359.

Instructor

Yongzeng Lai
E-Mail: ylai@wlu.ca
Office: LH3037 (Lazaridis Hall), Telephone: ext. 2107
Office Hours: Wednesday: 2:30 pm – 3:30 pm, or by appointment (all online with Zoom, without recording)

Lectures

MA370A: Monday & Wednesday, 4:00pm - 5:20 pm. Room: Online

Textbook

G. Campolieti and R.N. Makarov. Financial Mathematics: A Comprehensive Treatment. CRC Press, 2014.

Calculators

Students may use a non-programmable, non-graphing calculator on course tests and the final examination.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA370 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

Evaluation

A final mark out of 100 will be calculated as follows:


  • Assignments: 15%
  • Tutorial participation and quizzes: 15%
  • Midterm Test (Monday, October 26, 2020, during class time, 80 minutes): 30%
  • Final Exam (2.5 hours, exact date, time and location to be announced): 40%

Students must achieve a score of at least 40% of the marks available on the final examination to be eligible to pass the course. The final mark will be reported as a letter grade in accordance with the conversion table of the current undergraduate calendar.

This document is a summary of the course outline for MA370 and is provided for the convenience of students.