MATH4210 - Financial Mathematics - 2020/21

Course Name: 
Financial Mathematics
Teacher: 
Prof. Xiaolu TAN
Course Year: 
2020/21
Term: 
1

Announcement

  • Zoom Link: https://cuhk.zoom.us/j/95856161294
  • Please log in with your full name and department. Otherwise you could be kicked out.
  • Midterm Exam, 28th October 2020, 14:30-16:00.

General Information

Lecturer

  • Tan Xiaolu
    • Office: LSB 227
    • Email:

Teaching Assistant

  • Yang Fan
    • Email:
  • Wong Wing Hong
    • Email:

Time and Venue

  • Lecture: Monday, 14:30-16:15; Wednesday, 14:30-15:15
  • Tutorial: Wednesday, 15:30-16:15

Course Description

Topics of this course will include: Basic option theory, forward and futures contracts, interest rate, binomial tree model, Ito's Lemma, Black-Scholes model, free boundary problems of options, etc. Students taking this course are expected to have knowledge in probability and differential equations.

There will be 1 mid-term examen, 1 final examen, and some homework.


References

  • Financial Mathematics, Derivatives and Structured Products, by Chan, R., Guo, Y., Lee, S.T., and Li, X.
  • Options, Futures, and Other Derivatives, by Hull, J.

Pre-class Notes


Lecture Notes


Tutorial Notes


Assignments


Solutions


Assessment Scheme

Assignments 10%
Mid-term Examination 30%
Final Examination 60%

Honesty in Academic Work

The Chinese University of Hong Kong places very high importance on honesty in academic work submitted by students, and adopts a policy of zero tolerance on cheating and plagiarism. Any related offence will lead to disciplinary action including termination of studies at the University. Although cases of cheating or plagiarism are rare at the University, everyone should make himself / herself familiar with the content of the following website:

http://www.cuhk.edu.hk/policy/academichonesty/

and thereby help avoid any practice that would not be acceptable.

Assessment Policy

Last updated: December 19, 2020 11:47:37