Prerequisites
Multivariate calculus (partial derivatives, multiple integrals, Lagrange multipliers, etc.), linear algebra (linear equations, solvability, eigenvalues of symmetric matrices, bases for vector spaces), calculus based probability (probability density functions for univariate and multivariate random variables, conditional and marginal density by integration, the central limit theorem, the formulas for univariate and multivariate gaussian densities), some experience with computing (see below).
Computing
Some of the assignments will involve computation using Microsoft Excel and C++. Students need not have experience with Excel or C++, but they should have used some programming language, such as Matlab, C/C++, R, etc. Students will need access to Microsoft Excel. Experience shows that shareware substitutes such as Open Office do not function correctly enough for the purposes of this class. Students also will need access to a C++ compiler. This should be on the same computer that is running your Excel because you will need to create files with one and use them with the other. Students in Computing in Finance will be fine. Details are being worked out and will be announced shortly.
Grading
The final grade will be determined by the grades on the homework assignments and the final exam, each counting for about half the total. Homework grades will be posted on the nyuHome web site. Only registered students may submit homeworks for grading. There will be a penalty for assignments submitted late, which is an increasing but moderate and unspecified. Within reason, it is better to submit an assignment late but complete rather than on the due date but incomplete.
Communication
There is a message board at the nyuHome web site. Sign in with your NYU netid and password, then click on the "Academics" tab, then on the class "Derivative Securities" link (Warning: this will not work until you register for the class.), then the "Communication" button on the left, then (finally) the "Discussion board" link. Please post all academic questions or comments on the message board (questions about an assignment, answers to questions or other comments, announcements of study sessions, etc.). Always check the message board before working on an assignment, as there often will be corrections or hints. Please email an instructor or TA only for personal matters (schedule an appointment, request to submit an assignment late, etc.).
Collaboration
Students are encouraged to discuss homework exercises with each other. Each student must write the solutions himself or herself. Copying of solutions or allowing others to copy your solutions is considered cheating and will be handled according to NYU cheating policies. Code sharing is not allowed. You must type (or create from things you've typed using an editor) every character of code you use.