Lecturer: Paul Feehan
Class Schedule: M7-8 (6:40PM-9:30PM), Hill 705.
Office Hours: Monday, 4:00-6:00PM and by appointment.


TA: Ming Shi
Office: 620 Hill Center
Office Hours: Wed 2:00-3:00pm, Fri 3:00-5:00pm 

Math621 Home Page

First Lecture:   
Textbook:         
 

Monday, September 11, 2006
Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer Verlag, 2004

A simple Excel/VBA implementation of the binomial tree model for option pricing
Feel free to download and try
binomial.xls      
(If you have problem to run this gadget, make sure Macro is enabled, comments and error reports are welcome)

Due Date

9/18/2006
9/25/2006
10/2/2006
10/9/2006
10/16/2006
10/23/2006
10/30/2006
11/06/2006
11/13/2006
11/20/2006
12/4/2006
12/11/2006

HW1        Solution to HW1
HW2        Solution to HW2
HW3        Solution to HW3
HW4        Solution to HW4
HW5        Solution to HW5
HW6        Solution to HW6
HW7        Solution to HW7
HW8        Solution to HW8
HW9        Solution to HW9
Midterm   Solution to 1, 3, & 6 and 2, 4, & 5
HW11      Solution to HW11
Final