Name |
email |

Dimitrios Cheliotis |
demetris@math.stanford.edu |

The textbook for the course is "*The Mathematics of
Financial Derivatives, A Student Introduction
*", by Wilmott, Howison and Dewynne (Cambridge University
Press 1995) and it is in the bookstore.

Background in Probability will be provided as needed, at
the level of math 151. The text for that course is
"*Probability*", by Pitman (Springer Verlag 1993),
and will be used here as a reference text. Download a summary
of formulas from math 151, in
Postscript
(PDF).
Background in Partial Differential Equations will also
be provided as needed, at the level of math 131. The
text for that course is "*Partial Differential
Equations, an Introduction*",
by Strauss (Wiley 1992) and will be used as a reference text.

Midterm on Tuesday October 31, in class, will count for 30% of grade
Practice
(PDF).
Final will be held in room 550-550A, December 11, 3:30-6:30pm,
and will count for 50%. Both exams are with closed books and closed notes.
Four homework sets, collected in class on due date,
graded and returned to class a week later, shall
account for 20% of the grade. Late homework will not be accepted.
Download homework sets provided below two weeks before due date and
solutions provided below two days after the corresponding due date.
HW1
(PDF)
due 10/17,
Solution
(PDF);
HW2
(PDF)
due 11/7,
Solution
(PDF);
HW3
(PDF)
due 11/21,
Solution
(PDF);
HW4
(PDF)
due 12/5.
** Syllabus ** (Chapters 1-7 of text):

9/26 Tu(--) Th(1)
10/3 Tu(2.2) Th(2.2/2.3)
10/10 Tu(2.3/2.4) Th(---)
10/17 Tu(3.3/3.5) Th(3.4/3.6/3.7/3.10)
10/24 Tu(3.8/3.9) Th(Review)
10/31 Tu(Midterm) Th(5.2/5.3)
11/7 Tu(5.3/5.4) Th(5.5/5.6)
11/14 Tu(4.2/4.3) Th(4.3/4.4)
11/21 Tu(6.2/7.2) Th(--)
11/28 Tu(7.2/7.3/7.4) Th(7.5/7.6/7.7)
12/5 Tu(6.3/6.4/6.5) Th(Review)

#### Information last updated: Dec. 4, 2000