MATH 5765/6895, SPRING 2017
Introduction to Mathematical Finance II
Instructor:
Jingyi Zhu, LCB 335, 801-581-3236, zhu@math.utah.edu
Class Schedule:
MWF: 11:50 am - 12:40 pm, FASB 101
Office Hours:
MWF 3:00 - 4:00 pm, or by appointment, LCB 335
Syllabus
Lecture Notes:
Week 1
Week 2
Week 3
Week 5
Week 6
Week 8
Week 9
Week 10
Week 11
Week 12
Week 13
Homework Assignments:
Assignement 1
, due 1/18 at 5 pm
Assignement 2
, due 1/25 at 5 pm
Assignement 3
, due 2/6 at 5 pm
Assignement 4
, due 2/13 at 5 pm
Assignement 5
, due 2/22 at 5 pm
Assignement 6
, due 3/22 at 5 pm
Assignement 7
, due 3/27 at 5 pm
Assignement 8
, due 4/10 at 5 pm
Solution Notes
Projects:
Project 1
, due 2/10 at 5 pm
Project 2
, due 3/10 at 5 pm
Project 3
, due 4/7 at 5 pm
Project 4
, due 5/1 at 5 pm,
a note on parameter estimation
MATLAB and Excel Files:
Spreadsheet for a 5-step stock option binomial model:
5StepModel.xlsx
Spreadsheet to price a 5-year coupon bond:
Bond_Pricer.xlsx
Spreadsheet to simulate a 5-year zero-coupon bond prices:
Rate_Price.xlsx
Spreadsheet to solve the minimization problem for the cap-and-trade model:
Emission.xlsx
Spreadsheet to estimate the covariance matrix:
STKSCORR.xlsx
Matlab code to simulate random walks:
RandomWalk.m
Matlab code to simulate Brownian Paths:
BrownianPath.m
Matlab code to construct return covariance matrices and build eigenportfolios:
SPY_MeanReversion.m