MATH4210 - Financial Mathematics - 2019/20

General Information

Lecturer

• Tan Xiaolu
  • Office: LSB 227
  • Email:

Teaching Assistant

• Chan Hei Long
  • Email:
• Zhou Yue
  • Email:

Time and Venue

• Lecture: Monday, 13:30-15:15; Tuesday, 14:30-15:15, @LSB LT3
• Tutorial: Tuesday 15:30-16:15 @LSB LT3

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 2 quizzes, 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

• Note0

Lecture Notes

• Note1
• Note2
• Note3
• Note4
• Note5
• Note6

Class Notes

• Chan_BookMathFi_ContinuousMarket

Tutorial Notes

• Tutorial 1
• Tutorial 2
• Tutorial 3
• Tutorial 4
• Tutorial 5

Assignments

• na

Solutions

• na

Assessment Scheme

Quiz 1		20%
HW1-3		20%
HW4		10%
Midterm Examination		50%

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.

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Assessment Policy

Last updated: September 03, 2020 17:38:14