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MATH 433 Course Syllabus
HONORS- SPRING 2012
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 433 H: Mathematics of Financial Derivatives II - HONORS
Textbook: Derivatives Markets, 2nd ed., by R.L. McDonald. Publisher: Addison Wesley.
Prerequisites: Math 340 and Math 432, both with a grade of C or better.
Grading Policy: The final grade in this course will be determined as follows:
|
▪ Homework & Quizzes: |
15% |
|
▪ Computer Projects: |
30% |
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▪ Midterm Exams: |
30% |
|
▪ Final Exam: |
25% |
Your final letter grade will be based on the following tentative curve.
|
A |
90-100 |
C |
65-75 |
|
B+ |
85-89 |
D |
55-64 |
|
B |
80-85 |
F |
0-54 |
|
C+ |
76-79 |
|
|
Drop Date: Please note that the University Drop Date March 20, 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.
Exams: Exams are held on the following days:
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Exam 1: |
February 15, 2012 |
|
Exam 2: |
March 20, 2012 |
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Final Exam Week: |
March 3-9, 2012 |
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.
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.
| M |
Dr. Martin Luther King, Jr. Day ~ University Closed |
|
| Su-Su |
Spring Recess ~ No Classes Scheduled ~ University Open |
|
| T |
Last Day to Withdraw from this course |
|
| F |
Good Friday ~ University Closed |
|
| T |
Classes follow a Friday Schedule, Last Day of Classes |
|
| W |
Reading Day |
|
| R-W |
Final Exams |
Course Outline and Homework Assignments:
|
Course
Outline |
||||
|
Week |
Lecture |
Sections |
Topic |
Assignment |
|
1/19 |
1 |
Chap 9.3 |
Put/Call Parity |
13-16 |
|
1/23 |
2 |
Chap 9.3 |
Put/Call Parity |
13-16 |
|
|
3 |
10.1-10.3 |
Binomial Option Pricing |
1-8, 10-13 |
|
1/30 |
4 |
10.1-10.3 |
Binomial Option Pricing |
1-8, 10-13 |
|
|
5 |
10.4,11.1-2 |
Binomial Option Pricing |
14-20, 1-5 |
|
2/6 |
6 |
10.4,11.1-2 |
Binomial Option Pricing |
14-20, 1-5 |
|
|
7 |
11.3-11.5 |
Binomial Option Pricing |
14,16,17,20 |
|
2/13 |
8 |
11.3-11.5 |
Binomial Option Pricing |
14,16,17,20 |
|
|
9 |
|
Exam |
|
|
2/20 |
10 |
20.1-20.4 |
Brownian Motion |
1,2 |
|
|
11 |
20.4 -20.6 |
Ito’s Lemma |
3,4 |
|
2/27 |
12 |
20.4 -20.6 |
Ito’s Lemma |
3,4 |
|
|
13 |
20.4 -20.6 |
Ito’s Lemma |
3,4 |
|
3/5 |
14 |
20.4 -20.6 |
Ito’s Lemma |
3,4 |
|
|
15 |
12.1-12.3 |
Black Scholes |
1-7 |
|
3/12 |
16 |
|
Spring Recess |
|
|
|
17 |
|
Spring Recess |
|
|
3/19 |
18 |
12.1-12.3 |
Black Scholes |
1-7 |
|
|
19 |
|
exam |
|
|
3/26 |
20 |
12.4-12.6 |
Black Scholes |
9,14ab,15ab,16ab |
|
|
21 |
13.1-13.3 |
Delta Hedging |
1,2,3 |
|
4/2 |
22 |
13.4-13.6 |
Delta Hedging |
4,13,14 |
|
|
23 |
13.4-13.6 |
Delta Hedging |
4,13,14 |
|
4/9 |
24 |
14.1-14.3 |
Exotic Options |
1-8 |
|
|
25 |
14.1-14.3 |
Exotic Options |
1-8 |
|
4/16 |
26 |
14.4-14.6 |
Exotic Options |
9-12,16,18,20,21abc |
|
|
27 |
14.4-14.6 |
Exotic Options |
9-12,16,18,20,21abc |
|
4/23 |
28 |
24.1-24.5 |
Interest Rate Models |
1abc,2abc,9,12 |
|
|
29 |
24.1-24.5 |
Interest Rate Models |
1abc,2abc,9,12 |
|
4/30 |
30 |
|
Review |
|
Prepared By: Prof. Karen Rappaport
Last revised: December 23, 2011