Spring 2017 -- MATH 474: Mathematics of Financial Derivatives

Instructor: Dr. Wen-Qing Xu

Office: FO3-203 

Phone: 562-985-1823 

Email: wxu @ csulb. edu 

Web: www.csulb.edu/~wxu

Classes: Wednesday 4:00-6:45PM, PH1-220.

Office hours: Tuesday/Thursday 1:00-1:50PM, Wednesday 3:00-3:50PM, and by appointment.

Textbook: Introductory Course on Financial Mathematics, M V Tretyakov, Imperial College Press, 2013.

Prerequisites: MATH 364A or MATH370A, MATH 380, or consent of instructor.

Goal: 

To provide an introduction to options, futures, and other financial derivatives. Topics include: arbitrage; risk-neutral valuation; binomial trees; the log-normal hypothesis; the Black-Scholes-Merton formula and applications; the Black-Scholes-Merton partial differential equation; American options; exotic options; bond models and interest rate derivatives; credit risk and credit derivatives.

Grading Policy:

• Homework:      25%
• Exam 1:            25% 
• Exam 2:            25% 
• Final Exam:      25% 

Remarks:

• Class attendance is expected and will be checked from time to time. If you have to miss a class for a valid reason, notify me in advance.
• Homework problems will be assigned and collected chapter by chapter, approximately once every three weeks. No late homework will be accepted.
• There will be two midterm exams and a comprehensive final exam. There will be no make-up exams except in extremely unusual circumstances.
• Any office hour may be canceled due to illness or necessary appointments, students should therefore not depend upon a faculty member being in his/her office for a particular office hour. Students should secure any necessary signatures or other such requirements well in advance of any deadline.
• If you received permission to register for a closed class section, only you can enroll for the course. It is the student's responsibility to complete the registration process before the dates indicated in the Schedule of Classes.
• Please refer to the university policy and deadlines for withdrawals. It is the student's responsibility to withdraw from the course. The instructor has no obligation to withdraw students who do not attend classes, and may choose not to do so.
• Request for special need for accommodation of a University verified disability should be submitted within the first two weeks with all necessary documentation.