Financial Mathematics I: Discrete Time Models. Math 38100, Section 1010-L.

Professor: Joseph F. Grotowski

Class: Tuesday, Thursday 9:30 AM -- 10:45 AM, R-6/308. Note room change!

Syllabus, grading, introductory remarks (in PDF format).
(This sheet was distributed during the first class).

Guest speaker on Dec. 7.: Daniel Heneghen, Minera Inc.

Homework

Excel spreadsheet for pricing options via the tree method. (cf. Homework 3).

VBA code for pricing European options (cf. Homework 3).
Note: you will need to have the "Analysis ToolPak - VBA" loaded (Tools > Add-Ins).

Midterm

Final exam
Where: NAC Room 6/308.
When: Thursday, December 16, 8:00-10:20 AM.

Final review session: Thursday, Dec. 9 in class.

Textbook: Joseph Stampfli and Victor Goodman, The Mathematics of Finance: Modeling and Hedging. Brooks/Cole.

Supplemental Textbook: Mary Jackson and Mike Staunton, Advanced modelling in finance using Excel and VBA. Wiley.

Additional resources:



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