Math 241 - Mathematical Finance

Winter 2004

This page is under construction.

Announcements

2/27: Handout on computations with lognormals: pdf

Homework

Homework 1: .pdf
Due Date: Wednesday February 4.
HW 1 Solutions: .pdf

Homework 2: .pdf
Older version: .pdf
The two versions are mathematically identical. You may choose to use either one.
The only difference is purely notational, and affects only a single line of text: the line where Q is defined.
The two versions differ only in what letters they use, to denote the vectors which belong to Q.
A number of students find the new notation easier to understand.
Due Date: Wednesday February 18.
HW 2 Solutions: .pdf

Homework 3: .pdf
Due Date: Monday March 1.
HW 3 Solutions: .pdf

Homework 4: .pdf
Due Date: Wednesday March 10.
HW 4 Solutions: .pdf

Homework 5: .pdf
Due Date: Friday March 19.
HW 5 Solutions: .pdf

Prerequisites

Required: undergraduate probability.
Recommended: undergraduate PDE.
Recommended: stochastic calculus, for example Math 236.
(Not a requirement, because we will introduce the bare-bones essentials as needed in this course.)

Course description

The plan is to cover most of the non-computation, non-simulation chapters of Joshi.

Texts

Required: The Concepts and Practice of Mathematical Finance, by Mark Joshi
Optional: Options, Futures, and Other Derivatives, 5th ed, by John Hull
Optional: Arbitrage Theory in Continuous Time, by Tomas Bjork

Other References

Steven Shreve's lecture notes on Stochastic Calculus and Finance

Meetings

TTh 1:15-2:30
Sequoia 200

Staff

Instructor: Roger Lee
Email: rogerlee@stanford.edu
Phone: 723-1917
Office: Math building, 382Q2
Office hours: T Th 2:30-4:00

TA: Muzaffer Akat
Email: muzo@math.stanford.edu
Office: Math building, 381D
Office hours: M 3-5, T 4-6, W 3-5