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Lecture 1 - Introduction to
Discrete Time Finance Models
Readings: C&Z - Chapter 1
DH - Chapter 1
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Lecture13 - Monte
Carlo Simulations using MATLAB
Readings: DH - Chapter 4
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Lecture 2 - Probability on
Discrete Spaces I
Readings: DH - Chapter 3
SS - Chapter 2
Chapter
1: Stochastic Processes and the Mathematics of
Finance by J. Block
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Lecture14
(Extra) - Forwards and Futures
Readings: C&Z
- Chapter 6
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Lecture 3 - Probability on
Discrete Spaces II
Readings: DH - Chapter 3&4
SS - Chapter 2
Chapter
3: Stochastic Processes and the Mathematics of
Finance by J. Block
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Lecture15 - Probability on Continuous Spaces I
Readings:
Chapter
1: Stochastic Processes and the Mathematics of
Finance by J. Block
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Lecture 4 - Simple Interest,
Periodic Compounding, Annuities and Perpetuities
Readings: C&Z - Chapter 2
PW - Chapter 1
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Lecture16 -
Probability on Continuous Spaces II
Readings: SS (Vol. II) - Chapter 2,3
PW - Chapter 4
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Lecture 5 - Compounding
Methods, Bonds & Bond Valuation
Readings: C&Z - Chapter 2
PW - Chapter 1
Prof.
Robert's (Wharton) Global Finance Lecture Notes - Bond Valuation
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Lecture17 -
Ito Stochastic Calculus
Readings: DH - Chapter(s) 5,6 & 7
PW - Chapter 4 SS (Vol. II) - Chapter 4
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Lecture 6 - Risky Assets:
Stocks & Binomial Model
Readings: C&Z - Chapter 3
SS - Chapter 1
DH - Chapter 4
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Lecture18 -
Black Scholes Equation and it's Variants
Readings: DH - Chapter 8
PW - Chapter 5, 8
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Lecture 6 - Risky Assets:
Stocks & Binomial Model
Readings: C&Z - Chapter 3
SS - Chapter 1
DH - Chapter 4
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Lecture19 -
Solving the Black Scholes Equation I
Readings: DH -
Chapter 8
PW - Chapter 6
Black. F and Scholes. M, The Pricing of
Options and Corporate Liabilities
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Lecture 8 -
Portfolio Theory I
Readings: C&Z - Chapter 5
Markowitz.
H: Portfolio Selection
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Lecture20 -
Solving the Black Scholes Equation II
Readings: DH -
Chapter 18
PW - Chapter 9
Derman E. and Taleb N., The Illusions of Dynamics
Replication
Wilmott P., In defense of Black,
Scholes and Merton
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Lecture 9 -
Portfolio Theory II & CAPM
Readings: C&Z - Chapter 5
Markowitz.
H: Portfolio Selection
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Lecture21 -
Interest Rate Derivatives
Readings: PW: Chapter 32
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Lecture10 -
Introduction to Options
Readings: C&Z - Chapter 7
PW - Chapter 2
DH - Chapter 1
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Lecture22 -
Finite Difference Schemes for PDE
Readings:
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Lecture11 -
Option Pricing using the Binomial Model
Readings: C&Z - Chapter 8
SS - Chapter 1
Cox.
J, Ross. S & Rubenstein. M: Option Pricing a Simplified Approach
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Lecture23 -
Finite Difference Schemes for the Black Scholes Equation
Readings:
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Lecture12
-The CRR and Black Scholes Formulae
Readings: C&Z - Chapter 8
SS - Chapter 1
Higham. D: Nine Ways to Implement the
Binomial Method for
Option
Valuation in MATLAB
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Lecture24 -
Monte Carlo Methods
Readings:
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