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Course:  Math 194   (Course Catalog)

Title:  Introduction to the Mathematics of Finance

Credit Hours:  4

Prerequisites:  Math 20D, Math 20F or Math 31AH, and Math 180A.

Catalog Description:  Introduction to the mathematics of financial models. Basic probabilistic models and associated mathematical machinery will be discussed, with emphasis on discrete time models. Concepts covered will include conditional expectation, martingales, optimal stopping, arbitrage pricing, hedging, European and American options.

Text:  Introduction to the Mathematics of Finance, R. J. Williams, American Mathematical Society, 2006.

Material Covered:  We will follow chapters 1-3 of the text by R. J. Williams. The text is advanced and the primary function of the lectures will be to fill in the details of the proofs given in the text and provide extra examples.

Homework:  Homework will generally be given weekly (on Mondays) via the course website in Ted. Homework will be due by the following Monday at noon in the TA homework drop box. (The homework drop box can be found in the basement of AP&M.)

Exams:  There will be one midterm (in class) exam and a final exam.

  • Midterm exam: 11 Feb 2015 (Wed of Week 6) in class.
  • Final exam: 18 Mar 2015 (Wed) 3:00p - 5:00p. (CSB 002 or PETER 104 -- See Ted for seat assignment.)
Bring your student ID, a blue book (or two!), and pens/pencils with which to write. You may bring a single 8.5"x11" sheet of paper with writing on both sides of it to the exam. No books or other notes are allowed. You may bring a calculator. Make sure to justify your answers (credit will not be given for "inspired" answers). Remember that part of each problem is to set it up and to arrive at the answer by a progression of logical steps. Please start each problem on a new page, write legibly, and put your name and section number on your blue book.

Grading:  Your Math 194 grade will be calculated as follows:

(.20)*(Homework) + (.35)*(Midterm) + (.45)*(Final Exam)

After your average is calculated, letter grades will be assigned based on your performance (relative to the class).

Grade Recording Errors:  Keep all of your returned homework and exams. If there is any mistake in the recording of your scores, you will need the original assignment/exam in order for us to make a change.

Regrades:  All graded material will be returned in discussion sections. If you wish to have your exam regraded, you must return it immediately to your TA. Regrade requests will not be considered once the exam leaves the room. If you do not retrieve your exam during discussion section, you must arrange to pick it up from your TA within one week after it was returned in order for any regrade request to be considered.

Make-up Exams:  Make-up midterm exams will not be given. However, if you miss the midterm exam because of extraordinary circumstances, such as a serious illness or family emergency, and document the circumstances, then you may substitute your final exam score for the missed exam.

Late Homework:  Late homework assignments will not be accepted. Accommodations will be made on homework only under extraordinary circumstances. Please understand that accepting late work in less extreme cases is unfair to other students.

Academic Integrity:  Academic dishonesty is considered a serious offense at UCSD. Students caught cheating will face an administrative sanction which may include suspension or expulsion from the university. It is in your best interest to maintain your academic integrity.
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