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MA570A: Financial Mathematics in Discrete Time (Fall 2018)

Jan. 15, 2020
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Calendar Description

This course introduces discrete-time financial models and their application to risk-neutral asset pricing and hedging. Students learn the concepts of arbitrage, martingale measure, and complete and incomplete markets. Using these concepts and models, students learn how to replicate payoffs of contingent claims using a portfolio or other securities and to construct martingale measures, hence providing both a value and hedging strategy for the claim. This analysis is carried out in both complete and incomplete market models. Students are introduced to American-style options and are able to value them using stopping times. Students are also introduced to Black-Scholes theory for pricing options and computing sensitivities of options prices to input parameters. Optional topics include an introduction to single-factor interest rate modelling and pricing of fixed income securities.

Instructor

Professor Mark Reesor (PhD)
Office: LH3049 (Lazaridis Hall)
Office Hours: Tuesday 11 a.m. - noon, Thursday 1 p.m. - 2 p.m., or by appointment.
E: mreesor@wlu.ca
Telephone: x3247

Lectures

Tuesday and Thursday 2:30 p.m. - 3:50 p.m. in BA110 (Bricker Academic Building)
Two additional lecture hours, schedule to be determined.

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 MA570 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:

  • In-class Quizzes: 10%
  • Mini-projects/Assignments: 20%
  • Midterm Test (Tuesday, Oct. 23, during lecture time, location to be determined): 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 MA570 and is provided for the convenience of students.