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MATH 2281 3.00MW (Winter 2011)
- Interest rates (MATH 2280 or equivalent)
- Probability and mathematical statistics (MATH 2131)
- Linear algebra (MATH 1021 or MATH 2221)
MWF 1:30-2:20 in CB115 (Chemistry building)
Department of Mathematics and Statistics
- Departmental office: N520 Ross Building, (416) 736-5250,
FAX: (416) 736-5757
- Undergraduate Program office: N502/503 Ross Building, (416) 736-5902
- Math/Stat lab: S525 Ross Building
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.
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.
- 20% Midterm exam (Tentative date: Friday Feb 11)
- 20% Midterm exam (Tentative date: Friday Mar 18)
- 15% Assignments (between 7 and 9)
- 45% Final exam
- Restrictions on TA hours mean that only a
selection of the assigned problems will be marked.
- No late assignments will normally be accepted, but I will
drop everybody's worst assignment mark.
- Assignments may be handed in in class
or dropped in the course mailbox (one of the brown boxes by the
north elevator of the 5th floor of Ross will soon have our course
number on it).
- All assignment and exam marks should be interpreted
as raw scores and not "percentages". Cutoffs will be announced for
converting midterm scores into letter grades. The distribution of
scores will be announced for both the midterms.
- There will be no makeup midterm examinations. If you miss ar
midterm exam due to illness, and can supply an
acceptable note from your doctor, then I will give more weight to
your final examination results. This will be done by calculating
an equivalent midterm score based on your ranking on the final.
- Students are responsible for reviewing the
Student Information Sheet maintained by the university, which
outlines policies on academic honesty, access and disability,
religious observance accommodation, and student conduct.
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.