Derivative Securities, Fall 2010

Course Details and Syllabus


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).


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.

Homework, workload, and testing

There will be weekly homework assignments, posted on the day of the lecture and due the following lecture. These will involve mathematical analysis and small scale computing of various kinds. The each homework assignment is designed to take 10 hours or less. Please let the instructor know if your are spending significantly more time than this. The final exam is the only testing.


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. Homework should be submitted in class in hard copy. Homework by email will not be accepted except in very rare circumstances with prior approval of the instructor.


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.).


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 and the more stringent policies of the math finance program. Code sharing is not allowed. You must type (or create from things you've typed using an editor) every character of code you use.


This is the tentative syllabus and weekly schedule. It is subject to change.