Professor:
Professor R. J. Williams, Office: AP&M 6121.
Professor's Office Hours (during the 10 weeks of lectures): Tuesday noon-12.50 pm; Wednesday 1-1.50 pm; and by appointment.
Professor Williams' office hours for Finals Week only:
Monday 3-4 pm, Wednesday 3-4 pm, Thursday 2-3 pm.
Lecture Time: MWF, 4-4.50 p.m.
Lecture Place: WLH 2205.
Section Times: W 6-6.50 p.m., 7-7.50 p.m.
Section Place: HSS 2150.
Teaching Assistant: Michael Kinnally, AP&M Prime: 5768.
TA Office Hours (finals week): Mon 11-12am, Tues 3-4 pm, Wed 2-3 pm, Thurs 1-2 pm.
DESCRIPTION: This course is an introduction to the mathematics of financial models. The aim is to provide students with an introduction to some basic probabilistic models of finance and associated mathematical machinery. The emphasis will be on discrete time models where concepts can be developed without measure theory. (The graduate course, Math 294, which has a similar title, is at a more advanced level and has much more emphasis on continuous time models which use measure theory.)
PREREQUISITES: Math 20D, Math 20F, and Math 180A or Math 183.
TEXT: No specific text is required.
Some summary notes will be provided to accompany the course.
To access the notes, click here (you will need a password
to access this site -- this will be given in class).
Students
may also find it helpful to consult the text
M. Capinski and T. Zastawniak, Mathematics for Finance, Springer, 2003.
The book by Hull indicated below provides a useful compendium on
details of different financial derivatives.
OTHER REFERENCES:
J. Hull, Options, Futures and other Derivative Securities, Prentice Hall,
Fourth Edition, 2000.
S. Ross, An Introduction to Mathematical Finance, Options and other topics,
Cambridge University Press, 1999.
J. Stampfli and V. Goodman, The Mathematics of Finance: Modeling and
Hedging, Brooks/Cole, Pacific Grove, CA, 2001.
P. Wilmott et al., The Mathematics of Financial Derivatives,
Cambridge University Press, 1995.
HOMEWORK: Click here to go to the homework.
EXAMS: Midterm Exam, Wednesday, February 14, 2007.
This midterm will be at the regular class time of 4pm,
but will be in a different room. It will be in WLH 2005. Please make sure
to go to the different room for the midterm.
Final Exam.
An alternate time for the Final Exam is Wednesday, March 21,
2007, 7-10pm. This will be held in AP&M 6402.
The regular time is Friday, March 23, 2007, 3-6 p.m.
in CSB 002.
Please note that this is different from the regular class room.
You may only take one of the final exams (either on Wednesday
or Friday). If you plan to take the Wednesday Final, please
send email to Professor Williams indicating that choice:
williams at math dot ucsd dot edu
Please make sure to sit with at least one empty seat between you and the next person in the exam room.
The final exam will be an overall test of the material covered in the
course, including lectures, notes, reading and homework.
In particular, this includes the in-class lectures,
the printed notes available on the webpage, and all homework assignments.
Students should bring blue book(s), calculator, pens and pencils, and their I.D. to
the three hour exam.
Review session: The TA will give a review session at 5-7pm on Tuesday, March 20 in Peterson Hall 102.
Please direct any questions to Professor Ruth J. Williams, email: williams at math dot ucsd dot edu