Math-194.  Mathematics of Finance.      Spring- 2004.

TTh- 3:30-4:50, CSB-001.

HOMEWORK  HANDOUTS NEWS

Instructor:  Professor Vladimir Rotar: Office APM-5157, phone: 534 6014, e-mail: vrotar@math.ucsd.edu.

 Office hours: TTh: 5:00-6:00, and  by appointment.

Teaching Assistant: Poon Chuan Adrian Lim: e-mail: plim@math.ucsd.edu

Office hours: M: 3:00-3:50, Tu: 10:30-11:30, and  by appointment.

Text: Hull, John C.  Options, Futures and Other Derivatives. 5th  edition, 2000, Prentice-Hall.

The course concerns financial markets, and deals, in particular, with such notions as

· Evolution of stock prices;

· Prices for options, forwards, etc;

· Trading or investment strategies involving options and other securities.

To consider some modern financial models, and to obtain some important results, we study such important notions from Probability Theory as

· Conditional expectations,

· Martingales.

Other References: 

1. Hull, John C.  Options, Futures and Other Derivatives. 4th  edition, 2000, Prentice-Hall.

2. Financial Economics,  Ed. Panjer, H., 1998, The Actuarial Foundation.

3. Stampfli J., Goodman V.   The Mathematic of Finance: Modelling and Hedging, 2001. Books/Cole.

4. Cvitanic,J., Zapatero, F., Introduction to the Economics and Mathematics of Financial Markets

5. Ingersol, J.E.   Theory of Financial Decision Making, 1987, Rowman & Littlefield Publishers.

6. Duffie, D. Asset pricing theory. 1992,  Princeton:Princeton Univ.Press.