Math 490 Fall 2008 Lecture Schedule
|
Lecture |
Date |
Day |
Lecture |
|
1 |
8/25 |
M |
Overview;
Chapter 1 |
|
2 |
8/27 |
W |
Single
Period Binomial Model |
|
H |
9/1 |
M |
Holiday/Labor
Day/No Class |
|
3 |
9/3 |
W |
Single
Period Binomial Model |
|
4 |
9/8 |
M |
Single
Period Binomial Model |
|
5 |
9/10 |
W |
Multi-Period
Binomial Model (Primary Market: Definition and Trading Strategies) |
|
6 |
9/15 |
M |
Multi-Period
Binomial Model (Self-Financing Property and Replicating Strategies) |
|
7 |
9/17 |
W |
Multi-Period
Binomial Model (Trading in the Secondary Market and Pricing Exploration) |
|
8 |
9/22 |
M |
Multi-Period
Binomial Model (Conditional Expected Value) |
|
9 |
9/24 |
W |
Multi-Period
Binomial Model (Conditional Expected Value) |
|
10 |
9/29 |
M |
Multi-Period
Binomial Model (P^*-martingales) |
|
11 |
10/1 |
W |
Multi-Period
Binomial Model (Arbitrage Free Pricing) |
|
12 |
10/6 |
M |
Video |
|
13 |
10/8 |
W |
Presentation
of Homework 6 Questions 3 and 4a by Students |
|
14 |
10/13 |
M |
Exam
1 |
|
15 |
10/15 |
W |
Presentation
of Homework 6 Questions 1, 2, & 5 by Students Yields
a concise proof that the market is arbitrage free if pricing is done
according to the replicating strategy. |
|
16 |
10/20 |
M |
Summarize
concise proof of arbitrage proof.
Prove that there is arbitrage if pricing is not done according to the
replication strategy. |
|
17 |
10/22 |
W |
Definition
of the Finite Market Model |
|
18 |
10/27 |
M
|
First
Fundamental Theorem of Asset Pricing |
|
19 |
10/29 |
W
|
First
Fundamental Theorem of Asset Pricing |
|
20 |
11/3 |
M |
First
Fundamental Theorem of Asset Pricing |
|
21 |
11/5 |
W |
Second
Fundamental Theorem of Asset Pricing |
|
22 |
11/10 |
M |
Second
Fundamental Theorem of Asset Pricing |
|
23 |
11/12 |
W |
Second
Fundamental Theorem of Asset Pricing |
|
24 |
11/17 |
M |
Existence
and Uniqueness of the Arbitrage Free Price Process for Replicable Contingent
Claims |
|
25 |
11/19 |
W |
Pricing
Nonreplicable Contingent Claims |
|
26 |
11/24 |
M |
Review |
|
27 |
11/26 |
W |
Exam
2 |
|
28 |
12/1 |
M |
Arbitrage
Free Pricing for Nonreplicable Claims: Existence and Nonuniqueness |
|
29 |
12/3 |
W |
Arbitrage
Free Pricing for Nonreplicable Claims: Tight Bounds for Time Zero Pricing |
|
30 |
12/8 |
M |
Final
Exam, 4pm, in Sci2-337A |