Mat-2.194 Summer School on Systems Sciences
Assistant Professor Jussi Keppo from Michigan University
The main objectives of the course:
We begin by exploring the implications of the absence of static arbitrage. We study, for instance, forward and futures contracts. We proceed to develop the implications of no arbitrage in dynamic trading models: the binomial and Black-Scholes models. The theory is applied to hedging and risk management.
The students should be familiar with the fundamentals of probability theory and investment analysis.
Exam 60%, homework 40%.Grades of the course
Hull, J.C.: Options, Futures, and Other Derivative Securities, 1999, Prentice-Hall.
During the help sessions the students will solve problems under the guidance of Teaching Assistant. The students will be given homework problems after each help session. The homework problems must be handed in before the start of next lecture. The homework problems must be solved independently and they will be graded.Homework 1 Homework 2 Homework 3
All the lectures will be held in the classroom Y427B
Lecture 1 28.5 14-16
Help Session 28.5 16-18
Lecture 2(HW1 Due) 29.5 14-17
Lecture 3 30.5 14-16
Help Session 2 30.5 16-18
Lecture 4 (HW2 Due) 31.5 14-16
Help Session 3 31.5 16-18
Lecture 5 (HW3 DUE) 1.6 14-16
Take home ExamLoad your exam here
Exam will be available here 3.6.2001 at 18.00. Exam will also be emailed to course participants.
Exam must be handed in 4.6.2001 at 18.00 eihter by email or by returning a paper version to a paper bag at Systems Analysis Laboratory (near by U241)