MATH4210 - Financial Mathematics - 2022/23

Announcement

• Assignment 1 has been posted and it is due before 11:59pm on Oct 10th, 2022.
• The grades and the solutions of the midterm exam have been released on Blackboard. You can pick up your exam booklets in class on Monday (Nov 7th).
• Assignment 2 has been posted and it is due before 11:59pm on Nov 15th, 2022
• The deadline of assignment 2 has been extended to Nov 19 (Saturday).

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General Information

Lecturer

• Tan Xiaolu
  • Office: LSB 227
  • Email:

Teaching Assistant

• Kang Jiazhi
  • Email:
• Wang Bin
  • Email:

Time and Venue

• Lecture: Monday, 14:30-16:15 (Wu Ho Man Yuen Bldg 506); Wednesday, 14:30-15:15 (Science Centre L3)
• Tutorial: Wednesday, 15:30-16:15 (Science Centre L3)

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.
• Advanced Financial Mathematics, lecture notes from University of Münster (https://www.uni-muenster.de/imperia/md/content/Stochastik/financial_mathematics.pdf)

Pre-class Notes

• Note0

Lecture Notes

• Supplemtary Notes (scribed by TA)

Class Notes

• slides1
• slides2_v5
• slides3_v4
• slides4A_v4
• slides4B
• slides5
• slides6

Tutorial Notes

• Tutorial_1_Sol
• Tutorial_2_Sol
• Tutorial_3_Sol
• Tutorial_4_Sol
• Tutorial_5_Sol
• Tutorial_6_Sol_v2
• Tutorial_7_Sol
• Tutorial_8_Sol
• Tutorial_9_Sol
• Tutorial_10_Sol
• Tutorial_11_Sol

Assignments

• Assignment 1 (due date: Oct 10th, 2022)
• Assignment 2 (due date: Nov 19th, 2022)

Solutions

• Assignment 1 Solutions (see Blackboard or your email inbox)

Assessment Scheme

Assignments and Quiz		20%
Mid-term Examination		20%
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.

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Assessment Policy

Last updated: November 30, 2022 13:44:54