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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.

 

 

 

Number of Credits:  3

 

Course Description:  Mathematical analysis of models encountered in the area of financial derivatives. Topics include modeling and analysis of futures markets, determination of future prices, hedging strategies, swaps, option markets, stock options and their trading strategies. Effective From: Fall 2007

Prerequisites:  Math 112 and Math 346 with a grade of C or better.

Textbook:  Derivatives Markets, 2nd ed., by R.L. McDonald. Publisher: Addison Wesley.  

Instructor:   (for specific course-related information, follow the link below)

 

Math 432-H01

Prof. Rappaport

 

 

Grading Policy:  The final grade in this course will be determined as follows: 

▪ Homework & Quizzes:	15%
▪ Project:	15%
▪ Midterm Exams:	40%
▪ Final Exam:	30%

 

Your final letter grade will be based on the following tentative curve. This curve may be adjusted slightly at the end of the semester.

 

A	90-100	C	65-75
B+	86-89	D	55-64
B	80-85	F	0-54
C+	76-79

 

Drop Date:  Please note that the University Drop Date November 6, 2012 deadline will be strictly enforced.

Homework Policy:  Integrity – Your work is expected to be your own. Help from tutors, classmates etc is encouraged but you are responsible for mastering the material. Homework will be assigned at all classes. Homework will be collected and periodic quizzes will be given. Late homework will not receive full credit. There will be no makeup tests, quizzes, or homework.

Makeup Exam Policy:  There will be No make-up EXAMS during the semester. In the event the Final Exam is not taken, under rare circumstances where the student has a legitimate reason for missing the final exam, a makeup exam will be administered by the math department. In any case the student must notify the Math Department Office and the Instructor that the exam will be missed and present written verifiable proof of the reason for missing the exam, e.g., a doctors note, police report, court notice, etc., clearly stating the date AND time of the mitigating problem.

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 Instructor’s 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.

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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.

September 3, 2012	M	Labor Day ~ No classes
November 6, 2012	T	Last Day to Withdraw from this course
November 20, 2012	T	Classes follow a Thursday Schedule
November 21, 2012	W	Classes follow a Friday Schedule
November 22-25, 2012	R-Su	Thanksgiving Recess
December 13, 2012	R	Reading Day
December  14-20, 2012	F- R	Final Exams

 

Course Outline and Homework Assignments:

 

Week	Lecture	Sections	Topic	Assignment
	1	Chap 1	Introduction	1-8
	2	Chap 2	Forwards & Options	1,4a-c,5b,b,6-8
	3	Chap 2	Forwards & Options
	4	Chap 2	Forwards & Options	13,14,16
	5	Chap 2	Forwards & Options
	6	Chap 2	Forwards & Options
	7	Chap 3	Collars & Other Strategies	1-5
	8	Chap 9	Parity	1,2,3b
	9		Exam
	10	Chap 3	Collars & Other Strategies	6-8
	11	Chap 3	Collars & Other Strategies	9.10
	12	Chap 3	Collars & Other Strategies	11,12
	13	Chap 3	Collars & Other Strategies	13-15,18,20
	14	Chap 4	Intro to Risk Management	1-3
	15	Chap 4	Intro to Risk Management	4-6
	16	Chap 4	Intro to Risk Management	7-9
	17	chap 4	Intro to Risk Management	10-12
	18	chap 4	Intro to Risk Management	15-17
	19		exam
	20	chap 5	Forwards & Futures	1-3
	21	chap 5	Forwards & Futures	4-6
	22	chap 5	Forwards & Futures	7,8,10
	23	chap 5	Forwards & Futures	11,12,13
	24	chap 5	Forwards & Futures	14,16
	25	chap 8	Swaps	2-5
	26	chap 8	Swaps	8-10
	27	chap 8	Swaps	13,14
	28	chap 8	Swaps

 

Prepared By:  Prof. Karen Rappaport

Last revised:  May 2, 2012