| Number | Topic and link | Due date |
|---|---|---|
| 1 | Futures and forwards, options, portfolios with options. Auxillary file randn.xls. For the novice, Hints on using excel | Sept. 23 |
| 2 | Discrete hedging | Sept. 30 |
| 3 | Binomial tree and Gaussians. Auxillary files: bintree.cpp, the C++ source code, and the option.csv file for comparison. | Oct. 7 |
| 4 | Binomial tree Black Scholes. Auxillary files: putTree.cpp, the C++ source code, and the a4.xls file. | Oct. 14 | 5 | Stochastic calculus, American style options. | Oct. 21 |
| 6 | PDE and SDE and continuous time hedging. Auxillary file: the a6.xls file. | Oct. 28 |
| 7 | PDE and option pricing . | Nov 4 |
| 8 | More PDE solving, and Monte Carlo. Source code files: randMain.cpp, and path.cpp, and randn.cpp. | Nov. 11 |
| 9 | More stochastic calculus, some yield curve, PDE solving . | Nov 18 |
| 10 | Interest rate models . | Dec. 2 |
| 11 | Black's method, implied defaults . | Dec. 9 + grace period |
| Sample final |
Sample for this year . Sample for last year . Sample for 2006 . |
never |