Quantitative Finance FINN 422/MATH449/MATH524 Spring ‘25 |
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Simulation Lectures - Ayesha Ahmed: These are posted on LMS Interesting Articles
1. The importance of being the Central Limit Theorem 2. Are Stock Returns Normally Distributed? | by Tony Yiu | Towards Data Science 4. Karl Sigman: A short Note on Ito Stochastic Calculus*(new) 5. Deriving the Black Scholes Equation*(new) 6. Kolmogorov, Black & Scholes and their Equations! 7. Methods for Constructing a Yield Curve 8. The Market Price of Interest-rate Risk 9. Parametric and Historic VaR 10. Three Ways to Solve for Bond Prices 11. Ed Thorp: A Perspective on Quantitative Finance: Models for Beating the Market 12.
Eugene
Fama: Stock Price Model 13.
Hans
Stoll: Put Call Parity 14. Emanuel Derman: Critique of Black Scholes 15.
Paul
Wilmott: Defending the Black Scholes Model 16. Espen
Haug: Know Your Weapon (On The Greeks) Homework Ø
Homework 1 - Due in class Feb 17 Ø
Homework 2 - Due in class March 4 Ø
Homework 3 - Due in class March 23 Ø
Homework 4 - Due in class April 23 Computer Stuff
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