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MATH 2281 3.00MW (Winter 2011)
Financial Economics
Course Outline


Prerequisites:

Course Webpage

www.math.yorku.ca/~salt/courses/2281w11/2281.html

Lectures:

MWF 1:30-2:20 in CB115 (Chemistry building)

Instructor/Contact Information:

Tom Salisbury Department of Mathematics and Statistics

Office hours:

Wednesday 10:00-11:00, Friday 11:00-12:00.
I will try to post a notice on the course webpage if other commitments make it necessary to reschedule one or more office hour. If you need to see me outside these hours, you are welcome to e-mail or call me to try to arrange an appointment.

Text:

Derivative Markets by Robert McDonald; 2nd edition, Pearson/Addison Wesley 2006.
Note that this text is one of those recommended for the Society of Actuaries "MFE" Examination.

Grading:

Course description:

This is a course about the mathematics of derivative securities and options, in discrete time. It is designed to follow MATH 2280, which treats the mathematics of cash flow and bonds. We will consider the no-arbitrage theory of pricing, forward contracts and futures, American and European options, put-call parity, hedging, interest rate derivatives, binomial models and the Black-Scholes-Merton pricing formula. We will make connections with the continuous-time theory (known as stochastic calculus), but will not cover the latter mathematically.

This course is a requirement for the specialized honours actuarial stream of the mathematics for commerce program, and for the financial mathematics stream of the computational mathematics program. Any actuarial student wishing to write exam MFE of the Society of Actuaries should consider this course, because that examination is largely based on this material.