|Wednesday 10am||Hicks LT2|
I encourage you to come to my office and ask me questions: If times above are not convenient, e-mail me to set an appointment. I don't teach by e-mail, so please ask your questions in person.
A pdf version of the syllabus is here.
A summary of the material in the course
|Prologue||Interest rates||Forward and future contracts||Options|
|Binomial trees and risk-neutral valuation||The stochastic process followed by stock prices||The Black-Scholes pricing formulas||Portfolio Theory|
Capital Asset Pricing Model
A review of probability.
I will assign problems periodically.
#1 Due on Wednesday, October 12th
2012-13 exam and its
2013-14 exam and its solution.
2014-15 exam and its solution.
2015-16 exam and its solution. (Note correction to the solution of 3(iii)(b),(c) and 4(i)(a) in red).
|Futures contract||Forward contract|
|Modern portfolio theory||Capital asset pricing model|
Robert Shiller, one of the world's top economists, has made available online his course "Financial markets". You can watch videos of all the lectures here. Any students interested in Finance and Economics will benefit greatly from these very well delivered lectures. In particular, for MAS362 students this is a chance to learn the non-mathematical, real-life context of much of the material taught in the course. Highly recommended!
|The London Stock Exchange||Chicago Mercantile Exchange|
|LIFFE (International Financial Futures and Options Exchange)||ADVFN|
|New York Mercantile Exchange||Interactive Investor|
|New York Stock Exchange||RiskMetrics|
|Standard & Poor's||Wilmott|
Black-Scholes on TV and on the radio!
FT's John Authers on Volkswagen's short squeeze
Negative risk-free returns? See John Authers on Impossibilities in the markets and New York Times' Investors Buy U.S. Debt at Zero Yield.
without a risk-free benchmark
logic can lead to a crisis (How many flaws can you find in
this argument against CAPM?)
You can look for finance job ads in QuantFinanceJobs.com and in wilmott.com.
Most positions require
postgraduate degrees but there are occasional positions where no