Derivative Securities, Fall 2012

Robert V. Kohn

Professor of Mathematics

Courant Institute, New York University

This is the web page for my class Derivative Securities 
(G63.2791.001) in Fall 2012. Lecture Notes and homeworks will
be posted as they become available. Items with restricted
circulation (like solution sheets) will be posted instead
on the course's Blackboard site. 
The last time I taught this class was Fall 2007, when
Steve Allen and I taught parallel sections. The lecture
notes include many contributions from Steve. The complete 
website from Fall 2007 is here. The Fall 2012 version will be
similar overall, but different in some details (the
world has changed a lot since 2007).
Individuals are welcome to download single copies of this 
material for their personal, non-commercial use. Other uses
without the author's permission are prohibited.

   Syllabus, in pdf format (revised 10/17 -- new HW plan). 
   Section 1, in pdf format (corrected 10/8). 
   HW1, in pdf format. 
   Section 2, in pdf format. 
   Section 3, in pdf format. 
   HW2, in pdf format. 
   Section 4, in pdf format. (correction on pg 9 made 11/6) 
   Section 5, in pdf format (revised 10/18 -- implied vol example). 
   HW3, in pdf format. 
   Section 6, in pdf format. 
   Section 7, in pdf format. 
   HW4, in pdf format. Major corrections 11/7, typo corrected 11/11. 
   Section 8, in pdf format. Improved (page 8) 11/28/2012. 
   Section 9, in pdf format. Improved (pp 8-9) 11/28/2012. 
   HW5, in pdf format. 
   Section 10, in pdf format. Improved (pp 5-6) 11/28/2012. 
   Final Exam Guidance, in pdf format. Extended version posted 12/12/2012. 
   Section 11, in two parts: part1 and part2. Part 2 (pages 8,9) corrected 12/3. 
   HW6, in pdf format. 
   Section 12, in pdf format.