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  • Lecture 24: Here are the notes for Lecture 24, covered on 5/4 (the last day of class!).
  • Lecture 23: Here are the notes for Lecture 23, covered on 5/2.
  • Lecture 22: Here are the notes for Lecture 22, covered on 4/27. We played a little bit with this application, and with this Mathematica notebook.
  • Exam bonus points opportunity: The bonus question on Exam 3 can be redone and put in my mailbox by 5pm on Thursday, 4/28 for up to 5 additional points on the exam. The rules: consider this as part of the exam, so do not discuss this with any of your colleagues. You may use your notes.
  • Solutions to Exam 3 can be found here.
  • Lecture 21: Here are the notes for Lecture 21, covered on 4/25.
  • Lecture 20: Here are the notes for Lecture 20, covered on 4/13.
  • Here are some extra review problems for the exam. These do not need to be handed in. We will go over these problems in class on Monday, 4/18. Solutions are here.
  • Lecture 19: Here are the notes for Lecture 19, covered on 4/11. The supplementary material document has been updated with a bit more information on optimal investment (see Section 2 in this document), which is basically what we covered in Lecture 19, plus the proof that we skipped.
  • Lecture 18: Here are the notes for Lecture 18, covered on 4/6.
  • Lecture 17: Here are the notes for Lecture 17, covered on 4/4.
  • Lecture 16: Here are the notes for Lecture 16, covered on 3/30.
  • Solutions to Exam 2 can be found here.
  • Lecture 15: Here are the notes for Lecture 15, covered on 3/28.
  • Lecture 14: Here are the notes for Lecture 14, covered on 3/14.
  • Lecture 13: Here are the notes for Lecture 13, covered on 3/9.
  • Lecture 12: Here are the notes for Lecture 12; we covered everything up to (but not including) the proposition on page 53 on 3/7.
  • Lecture 11: Here are the notes for Lecture 11, covered on 3/2.
  • Lecture 10: Here are the notes for Lecture 10, covered in class on 2/29.
  • Exam 1 solutions here.
  • Lectures 8-9: Here are the notes for Lecture 8 (2/15 - pages 32-35) and Lecture 9 (2/22 - pages 36-39).
  • Lecture 7: Here are the notes for Lecture 7 (2/10). We skipped the fundamental properties on page 32 in favor of leaving those until Lecture 8 and instead went ahead and did the first two parts of the example on pages 33-34. We'll talk about the fundamental properties of conditional expectation and finish this example next time. Here is the discussion of convexity that we had during this lecture.
  • Lecture 6: Here are the notes for Lecture 6. On 2/8 we did all the non-example parts of these notes (we skipped the examples on pages 26 and 29; you should read the example on page 26 on your own, and we'll do the one on page 29 at the start of Lecture 7).
  • Lecture 5: Here are the notes for Lecture 5 (which we'll go through on 2/3). Note: It was brought to my attention that I accidentally switched p and q tilde today when sloppily re-writing the example from the end of Lecture 4! Since they were both equal to 1/2 it didn't make a difference for our computations, but do note that in general, it will matter which is which. The version in the notes and in the textbook (first introduced in Equation 1.1.8 in Shreve) is correct.
  • Put call parity comic
  • Lectures 3-4: Here are the notes for Lecture 3 (1/27) and Lecture 4 (2/1). We covered pages 10-14 in class on 1/27, having skipped the example that starts at the bottom of page 10. The discussion we had about the d < 1+r < u condition being equivalent to the arbitrage-free condition is proven rigorously on page 16. As pointed out on 1/27 in class, the sentence at the top of page 11 should read, "for an arbitrary derivative security, there is exactly one replicating strategy" not "...one derivative security."
  • Lectures 1-2: Hey! Welcome to MATH 321. We're gonna learn stuff about math finance. We'll be using our course textbook most of the time, but first I want to start off with a bit of context for financial markets, what assumptions we need to make for a decent financial model, and some other concepts like replication and arbitrage. Here are some supplementary notes for the first few lectures. And here's a short comic to summarize the most important points from this introduction. Take it away, Deadpool.