1219 Science and Engineering Offices (SEO)
(312) 413-1641
nicholls@math.uic.edu
http://www.math.uic.edu/~nicholls/math586_spring10/index.html

Lecture (Lecture Center A, Room 5): MWF 10:00 am - 10:50 am

Office Hours (1219 SEO):

• Wednesdays, 2:00 pm - 3:00 pm
• by appointment
  

Textbook:

• Wilmott, Howison, & Dewynne, The Mathematics of Financial Derivatives: A Student Introduction.
  

• Higham, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation.
  Higham's Book Web-Site
• Baxter & Rennie, Financial Calculus : An Introduction to Derivative Pricing.
• Hull, Options, Futures, and Other Derivatives, Sixth Edition.
• Brandimarte, Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, Second Edition.
  
• Kwok, Mathematical Models of Financial Derivatives, Second Edition.
  
• Higham & Higham, MATLAB Guide, Second Edition.
  

• Homeworks: 60%
  HW 1 due Friday, February 5 by 2pm
  HW 2 due Friday, February 26 by 2pm
  HW 3 due Friday, March 19 by 2pm [NEW DUE-DATE: Monday, March 29 by 2pm]
  HW 4 due Friday, April 16 by 2pm
  
• Final Project: 40%