Course Syllabus

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Class information

Course title : Math 133A Statistical Methods with Applications to Finance I

Lecture : A
Course code : 45100
Term : Winter 2017

Lecture times : Mon Wed Fri 1:00 - 1:50 pm

Lecture classroom : RH 114

Discussion sessions : (Dis 10) Tue Thu 11:00 - 11:50 am, room SST 220B.

Instructor

Name : Laure Giovangigli
Office : RH 540N
Office Hours : Mon Wed Fri 2:00 - 3:30 pm

Email : lgiovang@uci.edu

Teaching Assistant

Name : Nishant Rangamani

Office : RH 540 W
Email : nrangama@uci.edu

Course textbook

The coursetext is:

An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, by Desmond J. Higham, Cambridge, ISBN-10: 0521547571.

Week

Date

Sections

Topics covered

Assessments

1

Mon, Jan. 9

1.1-1.2

Historical perspective - options

Wed, Jan. 11

1.1-1.2

Fri, Jan. 13

1.3-1.5

2

Mon, Jan. 16

Martin Luther King, Jr. Day

HW 1

Wed, Jan. 18

2.1-2.4

Interest rates, Short selling, Arbi- trage

Fri, Jan. 20 t

2.5-2.6

Put-call parity, Bounds on option values

3

Mon, Jan. 23

2.6

cont.

HW 2

Wed, Jan. 25

3

Review on random variables

Fri, Jan. 27

4-15.2

Computer simulations, Monte- Carlo methods

4

Mon, Jan. 30

15.2

cont.

HW 3

Wed, Feb. 1

5

Asset price movement

Fri, Feb. 3

6.1-6.2

Discrete asset model

5

Mon, Feb. 6

6.3

Continuous asset model

Wed, Feb. 8

6.3-6.5

cont., Lognormal distribution, Features of the model

Fri, Feb. 10

7

Asset price model : Part II

6

Mon, Feb. 13

Review

Wed, Feb. 15

Midterm

Fri, Feb. 17

8.2

Sum-of-square increments for as- set price

7

Mon, Feb. 20

Presidents’ Day

HW 4

Wed, Feb. 22

8.3

Hedging

Fri, Feb. 24

8.4-8.5

Black-Scholes PDE and formulas

8

Mon, Feb. 27

9.1-9.4

More on hedging

HW 5

Wed, Mar. 1

10.1-10.4

The Greeks

Fri, Mar. 3

11

More on the Black-Scholes for- mulas

9

Mon, Mar. 6

12

Risk neutrality

HW 6

Wed, Mar. 8

14.1-14.3

Implied volatility

Fri, Mar. 10

14.4

10

Mon, Mar. 13

15.3

Monte-Carlo for option valuation

Wed, Mar. 15

Review

Fri, Mar. 17

Review

Wed, Mar. 22

Final Exam (1:30-3:30 pm)

 

Assessment

• Homework : There will be a total of 6 homework assignments. These assignments will be collected during discussion on Thursday of every week (except during exams weeks). The first assignment is due on Thursday, January 19. No late homework will be accepted. Some of the assigned problems require Matlab programming. If you need some help to solve these problems do not hesitate to mention it during the discussion sessions or to contact me or your TA.

• Midterm : there will be one midterm during regular class time on Wednesday, February 15.

• Final exam : the final exam will take place on Wednesday, March 22 between 1:30 and 3:30 pm.

No calculator will be allowed during the exams.
Except in the event of an emergency, there will be no make-up exam.
The final grade will be computed according to the following distribution :

Course requirement

Percentage of grade

Final exam

50%

Midterm

30%

Homework

20%

The overall course grades will not be curved.

Department add/drop policy

All enrollment is handled on-line, by the student, through the student’s WebReg account. Students can add classes up until the end of the second week of the quarter. After this date, the department will not authorize any more adds. Students can drop classes up until the end of the second week. After this date, students can petition the department’s Undergraduate Coordinator (through the student’s WebReg account) to drop a course provided they have a legitimate excuse. Instructors do NOT at any time approve students for adds, nor do they approve students for drops. For any information regarding enrollment or the add/drop policy of the department please refer to the following link : http://www.math.uci.edu/undergrad-courses/ course-registration-and-placement-information.

Course Summary:

Date Details Due