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MATH 707 Course Syllabus
NJIT Academic Integrity CODE: All Students should be aware that the Department of Mathematical Sciences takes the University Code on Academic Integrity at NJIT very seriously and enforces it strictly. This means that there must not be any forms of plagiarism, i.e., copying of homework, class projects, or lab assignments, or any form of cheating in quizzes and exams. Under the University Code on Academic Integrity, students are obligated to report any such activities to the Instructor.
Math 707-742: Advanced Applied Mathematics IV: Special Topics:
Applications in Math and Computational Finance
FALL 2010
Reference Textbook:
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Derivative Models, 2nd edition, McDonald Chapters: 14, 19, 21.5, 23
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Options and Derivatives, Hull Chapters 18,19.6, 19.7, 21,24,26,27 .
Prerequisites: Departmental approval.
Drop Date: Please note that the University Drop Date November 1, 2010 deadline will be strictly enforced.
Further Assistance: For further questions, students should contact their Instructor. All Instructors have regular office hours during the week. These office hours are listed at the link above by clicking on the Instructors name. Teaching Assistants are also available in the math learning center.
Cellular Phones: All cellular phones and beepers must be switched off during all class times.
MATH DEPARTMENT CLASS POLICIES LINK
All DMS students must familiarize themselves with and adhere to the Department of Mathematical Sciences Course Policies, in addition to official university-wide policies. DMS takes these policies very seriously and enforces them strictly. For DMS Course Policies, please click here.
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M |
Labor Day Holiday ~ University Closed |
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M |
Last Day to Withdraw from this course |
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R-Su |
Thanksgiving Recess ~ University Closed |
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T |
Classes follow a Thursday Schedule |
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December 8, 2010 |
W |
Classes follow a Friday Schedule |
Course Outline:
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Week |
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Topics |
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Week
1 |
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I. |
Exotic options Barrier, compound, Gap, Look Back, Asian |
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Week
2 |
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Week 3 |
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Week
4 |
II. |
Monte Carlo Valuation |
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Week 5 |
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Week
6 |
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Week
7 |
III. |
Modeling Jumps Poisson Process, Merton Jump Diffusion Model |
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Week 8 |
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Week 9 |
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Week
10 |
IV. |
Volatility Models Implied, EWMA, Garch, Stochastic, Variance Gamma, CEV |
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Week 11 |
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Week 12 |
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Week 13 |
V. |
Martingales and Measures Defining Martingales, Equivalent Measures, Changing Numeraires . |
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Week 14 |
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Week 15 |
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Finals |
Final EXAM WEEK: December 10-16, 2010 |
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Prepared By: Prof. Karen Rappaport
Last revised: June 17, 2010