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: , , , 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.