Module Homepage for MASM006 Financial Mathematics, 2006/7

Lecturer:

Dr Nigel Byott, Room 320 Harrison Building,

Email: N.P.Byott@exeter.ac.uk: University Telephone: 3982

Examples Sheets:

  • Example Sheet 1 due in Monday 19th February 2007.

  • Example Sheet 2 due in Monday 5th March 2007.

  • Example Sheet 3 due in Monday 23rd April 2007.

  • Example Sheet 4 due in Tuesday 8th May 2007.

  • Example Sheet 5 due in Tuesday 22nd May 2007.

    Lecture Notes:

  • Introduction , including course outline and list of books

  • (1) Basic Financial Concepts

  • (2) One-Step Binomial Model

  • (3) Discrete Time Stochastic Processes

  • (4) The Binomial Method

  • (5) Brownian Motion

  • (6) Stochastic Calculus

  • (7) The Black-Scholes Equation

  • (8) Options on Dividend-Bearing Assets

  • (9) American Options

  • (10) Finite Difference Methods

  • (11) Risk-Neutral Valuation

    MATLAB code demonstated in lectures

  • RandWalk.m; simulates random walk with drift.

  • CallBinomial.m; prices a call option by Binomial method

  • Brownian.m; simulates 10 paths of standard Brownian motion

  • ScaleInv.m; illustrates invariance of Brownian motion under scaling

  • FTCScall.m; prices a European call option by FTCS

    Last year's exam paper:

  • Summer 2006 exam.

  • Summer 2005 exam.

    Last updated: 30th May 2007
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