• Course plan for MA 692 Financial Mathematics is available here.

Notes and handouts

  • Handouts are available here.

  • Slides with overlays are available here. Note on 16th October: I have corrected typos in definition of multivariate normal distribution.

Exercises

  • Exercise sheet 1.
  • Exercise sheet 2.
  • Solution to Question 4. I mentioned I would provide this, in the Saturday lecture.
  • Exercise sheet 3, with outline solutions, updated with a couple of extra questions on 22nd November. I think I gave one incorrect answer in the class for two stage tree.

    • Assignment

    Assignment is now available, which counts for 20% of the course credits. We haven't covered everything needed for doing this assignment, but you can start putting together an EXCEL sheet with stock price data. If you are completely unfamiliar with EXCEL, some elementary information about it can be found at many places on the internet; you can start with this site and to see how to compute returns for a large number of days, follow it up with this site, both external to IITGN. The book by Simon Benninga, mentioned in the course plan and available in the library, is an excellent reference as well.

    Supplementary notes for LaTeX

    You will need to write a report in LaTeX. Register with your IIT address on overleaf.com. Save and upload the project latexworkshop.zip, available here, on overleaf. Then you can self-learn LaTeX using this file, in your spare time.