Introductory Financial Mathematics, Fall 2018
Instructor: Andrew Obus
email: Andrew.Obus [at] baruch.cuny.edu
office: VC 6223 
Mathematics for Finance, 2nd ed., by Marek Capiński and
Tomasz Zastawniak. This is a good book, but the level of
mathematical sophistication is a bit uneven. I will try to warn
you when the math difficulty is going to pick up rapidly! You will find
it extremely beneficial to read over the appropriate textbook sections
before class.
Other books you may enjoy looking at are An Elementary introduction to Mathematical Finance by Sheldon M. Ross and Financial Calculus by Martin Baxter and Andrew Rennie (more mathematical). The book Investments by
William F. Sharpe, Gordon J. Alexander, and Jeffery V. Bailey is a good
introduction to investing in general, not from a particularly
mathematical perspective. I also highly recommend When Genius Failed,
a popular and entertaining book by Roger Lowenstein about the Long Term
Capital Management debacle and the crash of 1998. This is a book
you can easily read on the subway, in bed, in line at the DMV...
Prerequisites: (MTH 3020 OR MTH 3030 OR MTH
3050) AND (MTH 3120 OR MTH 4120). If you do not have these
prerequisites, please see me immediately.
Mondays 4:35  5:35, Wednesdays 1:30  2:30, VC 6223.
If these times do not work for you, please make an appointment with
me. I am also teaching MTH 2205 this semester. You are
welcome to come to either office hour, but MTH 2205 students will have
priority during the Wednesday office hour. MTH 4500 students will
have priority during the Monday office hour.
NOTE: On Wednesday 8/29, the office hour will be from 4:35  5:35, not from 1:30  2:30.
Midterms will be in class on Wednesday 10/3 and Monday 11/5.
If you have a conflict with one of these days, you must let me know now.
The withdrawal deadline is 11/6, so I will put the grades for the second midterm on Blackboard no later than noon on 11/6.
The final exam is on Monday 12/17, from 3:30PM  5:30PM.
20% Quizzes
23% Each midterm exam
34% Final Exam
Grading will be based on the Baruch grading scale. It is possible for exceptional class participation to be factored into your numerical grade in borderline cases.
Class # 
Date 
Topics 
Book Sections (approximate) 
Remarks 
1 
8/27 
Arbitrage, Binomial Model, Risk and Return 
1.1  1.4 

2 
8/29 
Forwards, Calls, Puts, Forex 
1.5  1.8 

3 
9/5 
Time Value of Money 
2.1 
Quiz 1 
4 
9/12 
Money Market 
2.2 
Quiz 2 
5 
9/17 
Risk and Return, Two Securities 
3.1  3.2 
Withdrawal gives W grade starting today. 
6 
9/24 
Several Securities 
3.3 

7 
9/26 
CAPM 
3.4 
Quiz 3 
8 
10/1 
Forwards 
4.1 

9 
10/3 
MIDTERM 1 

10 
10/10 
Futures 
4.2 
Quiz 4 
11 
10/15 
PutCall Parity, Option Price Bounds  5.1  5.3 

12 
10/17 
More Option Pricing, Time Value of Options 
5.4  5.5 
Quiz 5 
13 
10/22 
OneStep Binomial Model 
6.1  6.2 

14 
10/24 
MultiStep Binomial Model 
6.2 
Quiz 6 
15 
10/29 
American and Exotic Claims 
6.3 

16 
10/31 
Hedging 
6.5 
Quiz 7 
17 
11/5 
MIDTERM 2 
Last class before withdrawal deadline. 

18 
11/7 
Trinomial/General Tree Model 
7.1  7.2 

19 
11/12 
Fundamental Theorems of Asset Pricing 
7.3  7.4 

20 
11/14 
BlackScholes Model 
8.1  8.2 
Quiz 8 
21 
11/19 
Pricing Using BlackScholes 
8.4 

22 
11/21 
Risk Management 
8.5 

23 
11/26 
Bonds: Maturity Independent Yields 
9.1  9.2 

24 
11/28 
Bonds: General Term Structure 
9.3 
Quiz 9 
25 
12/3 
TBA 
TBA 

26 
12/5 
TBA 
TBA 
Quiz 10 
27 
12/10 
TBA 
TBA 

28 
12/12 
Review for Final Exam  Quiz 11 