| Date | Topics | Core reading | Background reading | Homework |
|---|---|---|---|---|
| M 9/9 | Introduction to the motion of stock prices | - | - | HW 1 (due 9/13) |
| W 9/11 | Summary of probability and statistics | Handout | - | HW 2 (due 9/18) |
| M 9/16 | Brownian motion and stochastic calculus | Handout; also Hull ch. 11 | - | - |
| W 9/18 | - | - | - | - |
| M 9/23 | - | - | - | HW 3 (due 9/27) |
| W 9/25 | Mountain day! | - | - | - |
| M 9/30 | More on BM; computer demo | - | - | - |
| W 10/2 | - | - | - | HW4 (due 10/7) |
| M 10/7 | Mean-variance analysis | Copeland/Weston Ch 6; Wilmott Ch 51 | - | HW5 |
| W 10/9 | - | - | - | - |
| W 10/16 | - | - | - | - |
| M 10/21 | CAPM | - | - | - |
| W 10/23 | - | - | - | HW7 |
| M 10/28 | Value at Risk | Hull Ch 16 | - | - |
| W 10/30 | - | - | - | HW6 |
| M 11/4 | - | - | - | - |
| W 11/6 | Ito's lemma | Handout; also Hull 11.6 | - | Test I (due 11/11) |
| M 11/11 | Stochastic calculus | Handout | - | - |
| - | Options | Hull 1.5, Ch 7 | WSJG: 140-149 | - |
| W 11/13 | Properties of options (see HW8); uses of options (Hull p. 12) | - | - | HW8 |
| M 11/18 | One-step binomial trees | Hull 10.1 | - | HW9: Hull: 1.4, 1.7, 1.8 (p. 16), 10.1, 10.4 (p. 214) (due 11/25) |
| - | - | - | - | HW10 (due 12/4) |
| W 11/20 | Black-Scholes PDE | Hull 12.6 | - | - |
| M 11/25 | Black-Scholes formula | - | - | - |
| M 12/2 | Bond basics | WSJG 82-103 | - | - |
| W 12/4 | Models for interest rates | Hull Ch 23 | Wilmott p. 563 | HW 11 |
| M 12/9 | Movie: The trillion dollar bet | - | - | - |
| W 12/11 | (no class) | - | - | - |