| 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. 15 | 2 | Discrete arbitrage arguments and implied risk neutral probability | Sept. 22 | 3 |
The binomial tree model, the assignment bintree.cpp, the C++ code shell option.csv, the sample output file |
Sept 29 | 4 |
Black Scholes, the assignment a4.xls, Excel macro for implied vol EquityOptionData.xlt, equity option data FXOptionData.xlt, USD/Euro option data |
Oct. 6 | 5 |
Greeks, the assignment PathMax.cpp, C++ program starter for random walk Max.csv, Output of PathMax.cpp as given |
Oct. 13 | 6 | Stochastic calculus, the assignment | Oct. 20 | 7 | Girsanov and backward equations, the assignment | Oct. 27 | 8 |
finite difference Americans, the assignment FEuler.cpp, C++ to price options using finite differences GraphPutPrice.xls, Sample output for FEuler.cppcode |
Oct. 13 |