MA470A: Financial Mathematics III (Winter 2019)

Jan. 15, 2020
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Calendar Description

Continuous-time financial models and riskless asset pricing. The Black-Scholes theory (including the Black-Scholes PDE). Arbitrage free pricing of European, American, and exotic options. Optional topics: stochastic volatility and jump-diffusion models; continuous-time interest rate models; pricing bonds and derivatives on interest rates.

Prerequisites

MA370, MA451.

Instructor

Professor G. (Joe) Campolieti (PhD)
Office: LH3073 (Lazaridis Hall)
Office Hours: Monday and Wednesday 12:30 p.m. - 1:30 p.m., other times by appointment.
E: gcampoli@wlu.ca

Lectures

Monday, Wednesday and Friday 9:30 a.m. - 10:20 a.m. in 1C17 (Arts Building)

Textbook

G. Campolieti and R.N. Makarov, Financial Mathematics: A Comprehensive Treatment, Chapman and Hall/CRC Financial Mathematics Series, CRC Press, Taylor and Francis Group, 2014.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA470 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 (Approximately one every other week): 5%
  • Assignments (4 in total): 25%
  • Midterm Exam (Friday, March 1, 2019, 2:30 p.m. - 3:50 p.m.): 30%
  • Final Exam (comprehensive, 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 MA470 and is provided for the convenience of students.