Week
|
Day
|
Date
|
Topics
|
Lecture
|
1
|
Mon
Wed
Fri
|
1/13
1/15
1/17
|
H (1): What is an Option?
H (2, 3): Option Valuation Preliminaries and Random
Variables
H (4, 5, 6): Computer Simulation, Asset Price Movement and
Model
|
|
2
|
Mon
Wed
Fri |
1/20
1/22
1/24
|
M.L.K. Day [no class]
H (5, 6, 7, 8): Asset Price Model and Black-Scholes PDE
H (8, 10): Black-Scholes PDE, The Greeks
|
|
3
|
Mon
Wed
Fri |
1/27
1/29
1/31
|
H (13, 14): Solving Nonlinear
Equations, Implied Volatility
WHD (2, 3): Asset Price Random Walks, Black-Scholes PDE
WHD (3, 4): American Options, First-Order PDE
|
|
4
|
Mon
Wed
Fri |
2/3
2/5
2/7 [HW 1]
|
WHD (4): Heat Equation
WHD (4): Fundamental Solutions, Delta Functions
WHD (5): Black-Scholes solution derived
|
|
5
|
Mon
Wed
Fri |
2/10
2/12
2/14
|
WHD (8): Finite Difference
Methods (TFSC, TBSC)
WHD (8): Solving tridiagonal systems, Crank-Nicolson
Consistency, Stability, and Convergence of FD Schemes
|
|
6
|
Mon
Wed
Fri |
2/17
2/19
2/21
|
no class
Von Neumann Stability Analysis, Crank-Nicolson
WHD (7): American Options
|
|
7
|
Mon
Wed
Fri |
2/24
2/26
2/28
|
WHD (7): Obstacle Problem as
an LCP
NW (12, 16): Constrained Optimization
J (1): Introduction to the Finite Element Method
|
|
8
|
Mon
Wed
Fri |
3/3
3/5
3/7
|
J (1): FEM Error Estimate
J (1): FEM for Poisson
J (1, 8): FEM with Neumann BCs; FEM for Heat Equation
|
|
9
|
Mon
Wed
Fri |
3/10
3/12
3/14
|
FEM for Variational
Inequalities
VIs and LCPs
BR (0, 1): Parable of the Bookmaker, Arbitrage Pricing of
Forwards
|
|
10
|
Mon
Wed
Fri |
3/17
3/19
3/21
|
BR (2): Binomial Tree: One
time-tick
BR (2): Binomial Tree: Many time-ticks and a Worked Example
BR (2): Definitions for the Binomial Representation Theorem
|
|
11
|
Mon-Fri
|
3/24-3/28
|
SPRING
BREAK
|
|
12
|
Mon
Wed
Fri |
3/31
4/2
4/4
|
BR (2): Binomial
Representation Theorem and Self-Financing Portfolios
H (16): The Binomial Method
Binomial Method as a Finite Difference Method
|
|
13
|
Mon
Wed
Fri |
4/7
4/9
4/11
|
Nine Ways to Program the
Binomial Method
H (12, 15): Introduction to the Monte Carlo Method
H (21): Monte Carlo: Antithetic Variates
|
|
14
|
Mon
Wed
Fri |
4/14
4/16
4/18
|
H (22): Monte Carlo: Control
Variates
H (20): Historical Volatility
|
|
15
|
Mon
Wed
Fri |
4/21
4/23
4/25
|
W (6.3): Stratified Sampling
W (7.1): Importance Sampling
|
|
16
|
Mon-Fri
|
4/29-5/3
|
FINAL
PRESENTATIONS
|
|