# 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) |
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Mon. 3/07 | Spring Break (no class) |
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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 |