# Math 497G Course Info

**Course Meets:** Tues, Thurs
9:30 am - 10:45 am in LGRT 117

**Instructor**

Michael Sullivan, LGRT 1544, 545-1909

Office Hours: Tues 3-4, Weds 2-4.

**Prerequisites: ** Math 441 or equivalent

**Credit:** 3 credit hours

**Required Material: **

*Options, Futures and Other Derivatives* by
John C. Hull, ** 6th or 7th** edition, Prentice-Hall 2006 or 2009.

We will not use the Derivagem software package included
in the text.
The 6th edition is on reserve at the library. Below
are some links for buying the text at reduced price:

bookzilla.com ,
half.com ,
amazon.com ,
Barnes and Nobles.

Any calculator with a "solver", say capable of numerically
solving exp(x) + exp(3x) + ln(x/2) + x^4 = 17, for example.
The calculator should also have the cumulative
distribution function for the standard normal variable, N(0,1)
(also known as the ``Erf" function).
TI-83, for example, suffices.

** Contents in 7th (respectively 6th) edition notation: **

Chap 12 (12) + outside of text:
Brownian motion and stochastic calculus

Chap 13, 15, 16 (13, 14): Review of options and Black-Scholes

Chap 17 (15): Greeks

Chap 19 (17): Numerical Methods

Chap 18, 21 (16, 19): Volatility

Chap 20 (18): Value at Risk

Chap 22, 23 (20, 21*): Credit risk

(Maybe) Chap 24 (22): Exotic options

*Chapter 21 6th Ed is a little shorter than its counterpart
Chapter 23 7th Ed.

** Exams: **
The midterm will be in class on ** March 12**
from 9:30 am to 10:45 pm.
There will be ** NO ** make-up midterm.
Midterm
solutions
.
The final exam time will be determined by the Registrar's office
later this semester.

**Grading: **
The grade for the course will be determined by timely-completion
of homeworks, as well as the two exams.
The lowest homework score will be dropped, if it's in your interest.
But there will be **NO** excuses for late or missed homeworks.
That's what the drop is for!
There will be one homework almost every week.
Homeworks will be due at the beginning of class on Thursday,
unless otherwise noted.
There MAY be some Matlab modules included as part of the homework.
(Matlab is available
free to the UMass community on the
OIT computer clusters. )
The homework scores will determine 35% of your grade.
The midterm will be worth 25 or 30%,
and the final exam will be worth 35 or 40%.
However, if you miss more than one third of your homeworks
(the drop won't help you here), you'll be penalized by 2/3 of a letter grade;
e.g., B+ to B- or C- to D. (I do not assign D+ or D- as a grade.)
There will be no make-up or extra-credit work.