Homework and Schedule

Homework Instructions and Policies:

  • All homework assignments must be submitted on Gradescope. A video from Gradescope with instructions explaining how to submit your homework can be found here.
  • Up to two homework sets may be submitted up to 48 hours late. This is meant to cover illness, travel, and weeks where you have lots of other work or exams, and you do not need to provide an excuse. Beyond these two, no late homework will be accepted. *Note: to facilitate this, Gradescope will show a deadline and a late deadline for every set. It will not prevent you from submitting more than two sets late, but I’ll only count the first two.
  • Leave time to check that your submission is correct. It’s your responsibility to make sure you’ve submitted to the correct assignment, and have uploaded all your work. Plan to submit your work at least 15min before the deadline, and view your submission after uploading it.
  • You may use a calculator/computer on the homework, but will not be allowed to use one on the exams. Please give final answers as decimals on the homework (where appropriate), but you will not need to simplify or compute decimals on exams.

Schedule

This schedule is tentative, and may change according to our progress through the topics. All textbook readings are from Blyth.

Week of Topic Reading HW (due Wednesday, 11:59pm)
Mon. 1/10 (No class Monday) Basic Probability Review your probability textbook                                                                   None
Mon. 1/17 (No class Monday) Basic probability, time value of money, interest rates and compounding, zero coupon bonds. Ch 1 None
Mon. 1/24 Annuities, amortized loans, basics of stocks, bonds, and foreign exchange. Ch 2 HW 1, Solutions
Mon. 1/31 Derivative contracts, forward contracts CH 2 HW 2 Solutions
Mon. 2/7 More on arbitrage, monotonicity and replication Ch 6 HW 3 Solutions
Mon. 2/14 Forward zero coupon bond prices, Forward interest rates, Libor, Forward rate agreements and forward libor, Value of floating and fixed cashflows 3.1-3.5 HW 4 Solutions
Mon. 2/21 Swap definition, Forward swap rate and swap value, Spot-starting swaps, Swaps as difference between bonds 4.1-4.4 HW 5 Solutions
Mon. 2/28 Midterm Review Ch 1-4, 6 HW 6 Solutions Due Friday
Wed. 3/2 Midterm Exam (in class)    
Mon. 3/07 Spring Break (no class)    
Mon. 3/14 Futures, Hedging with futures, Futures versus forward prices. Option definitions. Class will meet on Zoom this week 5.1,5.2, 7.1,7.2  
Mon. 3/21 Put-call parity, Bounds on call prices, Call and put spreads, Call butterflies, Digital options 7.3-7.6 HW 7 Solutions
Mon. 3/28 Binomial Tree Model, Risk-Neutral Probabilities 8.1-8.4 HW 8 Solutions
Mon. 4/4 Martingales, Numeraires, Fundamental Theorem of Asset Pricing 9.1-9.5 HW 9 Solutions
Mon. 4/11 Lognormal limit of binomial tree 10.1, 10.2 HW 10 Solutions
Mon. 4/18 The Black-Scholes model, Delta and vega, Volatility 10.3-10.5 HW 11 Solutions
Mon. 4/25 (Classes end Wednesday) Catch up and review for final exam Ch 1-10 HW 12 Solutions
Week of 5/2 Final Exam May 3, 4-7pm