MATH 420/620 Download Page

• Textbook:
• Wilmott, P., Howison, S., Dewynne, J. The Mathematics of Financial Derivatives: A Student Introduction. Cambridge: Cambridge University Press, 1995.
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• Suggestion Box

• Course Syllabus revised version posted 3/1 (size: 199K)
• Honors/Graduate Supplement revised version posted 2/26 (size: 175K)
• Handouts

Review (size: 355K) revised version posted 4/8	Continuous Dividends (size: 210K) revised version posted 3/16
Finance Summary (size: 294K)	Discrete Dividends (size: 209K) revised version posted 3/17
The Normal Distribution (size: 240K)	Compound Options (size: 297K)
The European Call (size: 322K)	Barrier Options (size: 251K)
The Lognormal Distribution (size: 239K)	The American Put (size: 232K) revised version posted 4/7
Deriving the Black-Scholes Solution (size: 297K) revised version posted 3/10	The American Call (size: 259K) revised version posted 4/7
Understanding the Black-Scholes Solution (size: 300K) revised version posted 3/10	Binomial to Black-Scholes (size: 283K)
The Greeks (size: 268K)	Bootstrapping (size: 230K) revised version posted 4/28
Put-Call Parity (size: 207K)	Stochastic Interest Rates (size: 226K)
Other Payouts (size: 318K)	Portfolio Management (size: 200K) revised version posted 5/6

• Resources

Commodities Quotes

Treasury Yield Curve

S & P 500 Futures

Alphabet Option Chain

Auburn BCS Story

Sample Political Odds

Excel Tutorial

Volatility Index

Career Information

• Homework Sets

Homework Set 1 (size: 142K), Solution Set (size: 168K)

Forwards and futures, introduction to options (chapter 1, sections 3.1, 3.2, 6.3).

Homework Set 2 (size: 165K), Solution Set (size: 192K)

Random walk, Wiener processes (sections 2.1, 2.2).

Homework Set 3 (size: 154K) revised version posted 3/2, Solution Set (size: 228K)

Itô’s Lemma, Black-Scholes (sections 2.3, 3.5).

Homework Set 4 (size: 157K), Solution Set (size: 188K)

European call (sections 3.3, 3.6, 3.7, 3.10, 5.4-5.6, chapter 4).

Homework Set 5 (size: 225K) revised version posted 3/23, Solution Set (size: 299K)

The Greeks, put-call parity, other payoffs (sections 3.3, 3.4, 3.9)

Homework Set 6 (size: 161K), Solution Set (size: 174K)

Dividends, exotic options (sections 6.2, 13.1, 13.2, 14.1, 14.2, 14.5, 15.1, 15.2, chapter 11)

Homework Set 7 (size: 261K) revised version posted 4/18, Solution Set (size: 266K)

American options and binomial trees (chapter 7, sections 10.1, 10.2)

Homework Set 8 (size: 220K), Solution Set (size: 286K)

Binomial Black-Scholes, bonds (Sections 10.3-10.5, 17.1-17.3)

Homework Set 9 (size: 146K) revised version posted 4/28, Solution Set (size: 175K)

Interest rates (sections 17.1-17.5)

Homework Set 10 (size: 161K) revised version posted 5/9, Solution Set (size: 170K)

Stochastic interest rates, options on bonds, swaps (sections 17.6, 17.8-17.9.2)

Homework Set 11 (size: 251K) revised version posted 5/16, Solution Set (size: 168K)


Swaps, risk and reward (sections 17.9.1, 17.9.2)

Supplemental Study Material (size: 181K) revised version posted 5/18, Solution Set (size: 155K)


CAPM, value at risk

• Lab Assignments (MATH 620 only)

Lab Assignment 1 (size: 108K)

Introduction to Bloomberg.

Lab Assignment 2 (size: 206K) with template (size: 24K) and presentation example (size: 17K)

Futures contracts.

Lab Assignment 3 (size: 196K) revised version posted 2/22 with template (size: 15K)

Stock prices and news.

Lab Assignment 4 (size: 204K)

Option pricing.

Lab Assignment 5 (size: 230K) with template (size: 15K)

Put-call parity, Greeks, other payoffs.

Lab Assignment 6 (size: 232K)

Dividends and barriers.

Lab Assignment 7 (size: 216K) revised version posted 4/13

Path-dependent and American options.

Lab Assignment 8 (size: 209K)

Portfolio creation.

Lab Assignment 9 (size: 211K) with template (size: 15K)


Bonds.

Lab Assignment 10 (size: 183K)

Swaps.

Lab Assignment 11 (size: 210K)

Portfolio management.

Return to the syllabi download page.