**Lectures:**Monday 4pm

Hicks LT2 Wednesday 10am Hicks LT7 **Exam:**Closed book exam, date TBA**Feedback sessions (aka Office hours):**Wednesdays 3-4pm and Fridays 4-5pm in J16.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.

- Interest rates, bonds and yield curves. (2 lectures)
- Forward and Futures contracts. (3 lectures)
- Options. (3 lectures)
- Binomial trees and risk neutral valuation. (3 lectures)
- The stochastic process followed by stock prices. (2 lectures)
- The Black-Scholes pricing formulas. (2 lectures)
- Portfolio theory. (2 lectures)
- The Capital Asset Pricing Model. (3 lectures)

A pdf version of the syllabus is here.

A summary of the material in the course

Printable format

I will assign problems periodically.

Homework
#1 Due on Monday, October 16th. Hand in #4, 5, 6. |
Solutions |

Homework
#2 Due on Monday, October 30th. Hand in #2, 3, 5. |
Solutions |

Homework
#3 Due on Monday, November 13th. Hand in #1, 2, 3. |
Solutions |

Homework
#4 Due on Wednesday, November 29th. Hand in #1, 4, 6 ,7. |
Solutions |

Homework
#5 |
Solutions |

The exam will cover all the material taught in the course. You should expect to see problems similar to the examples discussed in class and to the homework problems. You are expected to know how to prove all statements proved in lecture except for the following:

- The informal proof of Ito's Lemma, however, you will be expected to know its statement.
- Computing Ito integrals from first priciples, i.e., as limits of sums of random variables.
- You dont need to memorize the exact form of the Black-Scholes PDE, HOWEVER, you will be expected to know its significance, and you will be expected to know how it is derived.
- The Black-Scholes pricing formulas, however, you will be expected to know their significance.
- The proof of Theorem 8.1

2012-13 exam and its
solution.

2013-14 exam
and its
solution.

2014-15 exam
and its
solution.

2015-16 exam
and its
solution.

2016-17 exam
and its
solution.

Bond | Yield curve |

Stock | Option |

Futures contract | Forward contract |

Brownian motion | Black-Scholes |

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!**

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.

Life
without a risk-free benchmark

How
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
experience and/or
postgraduate degrees but there are occasional positions where no
experience is
required.