MATH 5760-01, MATH 6890-02 — Introduction to Financial Mathematics
Fall 2023
| Instructor: |
Akil Narayan |
| Email: |
akil sci.utah.edu |
| Office phone: |
+1 801-581-8984 |
| Office location: |
WEB 4666, LCB 116 |
| Office hours: |
Monday 12-1pm and Thursday 12-1pm, WEB 4666 |
| Class meeting time: |
Tuesday, Thursday 9:10am - 10:30am |
| Class meeting location: |
WEB L126 |
A basic introduction to the theory of financial derivative pricing. Topics include no arbitrage principle, risk-neutral measure, Black-Scholes theory, numerical model implementation and parameter calibration.
The course syllabus is here: PDF
The content of this course is split across this website and Canvas. The material available on this website is:
- Course syllabus
- Homework assignments
- Lecture slides and notes
- Miscellaneous handouts and links to software
The material available on Canvas is:
- Course syllabus
- Homework assignments and submission portal
- Grading results
- Class Zoom recordings
Graded assignments
Individual grades for each assignment will be posted to Canvas. (uNID login required.) Note that the letter grades appearing on Canvas are not representative of predicted final letter grades for the course. Final letter grades will be computed according to the rubric and policies on the syllabus.
Homework assignments
Late work will not be accepted without advance approval from the instructor.
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Problem set description
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Due date
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Homework
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1 : Simple valuations
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September 5, 2023
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PDF
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Key and solutions
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PDF
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2 : More valuations
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September 12, 2023
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PDF
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Key and solutions
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PDF
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3 : 2-security Markowitz portfolios
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September 19, 2023
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PDF
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Key and solutions
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PDF
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4 : N-security Markowitz portfolios
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September 26, 2023
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PDF
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Key and solutions
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PDF
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5 : Capital Market Theory
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October 5, 2023
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PDF
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Key and solutions
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PDF
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: Project 1
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October 24, 2023
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PDF
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6 : The Binomial Pricing Model
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October 31, 2023
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PDF
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Key and solutions
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PDF
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7 : The Cox-Ross-Rubinstein Model
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November 7, 2023
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PDF
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Key and solutions
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PDF
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8 : Continuous-time models
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November 14, 2023
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PDF
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Key and solutions
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PDF
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9 : Brownian motion
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November 21, 2023
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PDF
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Key and solutions
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PDF
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: Project 2
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December 7, 2023
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PDF
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Miscellaneous handouts
The following are various relevant handouts.
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Description
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Posting date
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Download
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Introduction and syllabus
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August 22, 2023
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PDF
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Markets and securities
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August 24, 2023
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PDF
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Interest
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August 29, 2023
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PDF
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Present value
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August 31, 2023
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PDF
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Review: linear algebra + differential equations
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September 5, 2023
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PDF
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Review: probability
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September 7, 2023
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PDF
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Portfolios
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September 12, 2023
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PDF
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The efficient frontier
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September 14, 2023
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PDF
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$N$-security portfolios
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September 21, 2023
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PDF
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The mutual fund theorem
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September 26, 2023
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PDF
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Capital Market Theory
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October 3, 2023
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PDF
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The Capital Asset Pricing Model
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October 3, 2023
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PDF
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Risk measures
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October 5, 2023
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PDF
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Security price modeling
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October 17, 2023
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PDF
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The Binomial pricing model
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October 24, 2023
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PDF
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The Binomial options pricing model
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October 26, 2023
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PDF
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The Cox-Ross-Rubinstein Model, I
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October 31, 2023
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PDF
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The Cox-Ross-Rubinstein Model, II
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November 7, 2023
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PDF
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Continuous-time limits
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November 9, 2023
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PDF
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Stochastic processes
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November 14, 2023
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PDF
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Stochastic integration
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November 16, 2023
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PDF
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Stochastic differential equations
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November 21, 2023
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PDF
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Forwards and options
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November 30, 2023
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PDF
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The Black-Scholes Merton Model
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December 5, 2023
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PDF
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