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MATH 449 Syllabus

The course meets Monday, Wednesday, and Friday from 9:00-9:50 am and is worth 3 credit hours. Professor Thomas P.-Y. Yu is the instructor and his office hours are Monday-Wednesday-Friday from 10-11:30 am on zoom or by appointment. There is no required textbook, but two references are provided. The course covers fixed income mathematics, arbitrage theory foundations, and stochastic derivative pricing. Student learning outcomes include understanding various financial instruments, fixed income security mathematics, arbitrage concepts, and options pricing models. Grades are based on homework assignments and oral exams

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Anh Nguyen
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51 views

MATH 449 Syllabus

The course meets Monday, Wednesday, and Friday from 9:00-9:50 am and is worth 3 credit hours. Professor Thomas P.-Y. Yu is the instructor and his office hours are Monday-Wednesday-Friday from 10-11:30 am on zoom or by appointment. There is no required textbook, but two references are provided. The course covers fixed income mathematics, arbitrage theory foundations, and stochastic derivative pricing. Student learning outcomes include understanding various financial instruments, fixed income security mathematics, arbitrage concepts, and options pricing models. Grades are based on homework assignments and oral exams

Uploaded by

Anh Nguyen
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Math 449, Winter 2021

Mathematical Finance
Class Meetings: M, W, F 9:00-9:50 a.m. (3 Credit Hours)

Instructor Information
Instructor: Thomas P.-Y. Yu
Office Hours: M-W-F 10-11:30 a.m. in zoom, or by appointment. If you need
help on HWs at any other time, please feel free to email me to set up a zoom
conversation.
How to reach me:
• email: [email protected]
• Mailbox: Korman 206
How I reach you:

• During the term I will send you important announcements at your Drexel
email address.

Course Materials
Textbook: None, see the following references

Reference: Stochastic Calculus for Finance I by Steven E. Shreve


Options, Futures, and other Derivatives by John C. Hull

Course webpage: http://www.math.drexel.edu/~tyu/Math449/

Student Learning Information


Catalog description: This course is an introduction to the mathematics
of finance. The main topics include: fixed income mathematics (duration,
convexity, compounding conventions, immunization of bond portfolios,
yield curve stripping), foundations of the arbitrage theory (pricing
of futures and forwards, swaps, put/call parity) and introduction to
stochastic derivative pricing (Black-Scholes and beyond).

Prerequisite: Math 311

Specific learning outcomes for Math 449 are that the student
1. develop a basic understanding of various financial instruments (bonds,
stocks, forwards, futures, options, etc.)

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2. understand the relevant mathematics of fixed income securities when they
are traded in a public market
3. understand the concept and consequence of arbitrage
4. understand the no arbitrage pricing of futures and options, Black-Scholes,
and options pricing based on binomial lattice model
5. understand the Greeks of options

Assesment and Grading

The grades will be based on a set of 5-6 homeworks and 1-2 30 minutes oral
examinations (based on the materials of the homeworks). The homework as-
signments contain both theoretical and computational problems.
The approximate course-grade cut-offs are as follows:
A+ 99-100%
A 91-98%
A- 90 %
B+ 89%
B 81-88%
B- 80%
C+ 79%
C 71-78%
C- 70%
D+ 69%
D 60-68%
F 0-59%
I do not take attendance in this course or factor it directly into your average,
but I do expect all students to attend every class, barring sickness or other
emergency.
Other Course Policies
We will adhere to all university-wide policies. In particular, you should be
aware of the Drexel University policies regarding academic integrity, plagia-
rism, cheating, accomodation of disabilites, and the drop and course withdrawl
policies:
• http:// www.drexel.edu/studentaffairs/community standards/studentHandbook/
(See the Student Conduct and Community Standards section)
• http://www.drexel.edu/provost/policies/
• http://drexel.edu/oed/disabilityResources/faculty/SyllabusStatement/

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• http://www.drexel.edu/provost/policies/course drop.asp
• http://www.drexel.edu/provost/policies/pdf/course− withdrawal.pdf

Disclaimer
I expect to follow this syllabus, but reserve the right to make changes as needed.
Any changes will be announced in class and by email.

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