Math 458/558 Mathematical Finance Fall 2009

Course Materials:

Course Description, Lecture Plan (Week 1 Handout)

Homework Assignments

Course web page: http://www.math.buffalo.edu/~hassard/458-558/

GE log returns spreadsheet

Simulation solutions of a Stochastic Differential Equation giving rise to a Wiener process (parameters mu, sigma)

Simulation solutions of a Stochastic Differential Equation giving rise to a lognormal random walk (parameters mu, sigma)

webwork on options (optional)
Select the course 458-558_bh_fa09
login as
Username: practice1
Password: practice1
Select hw_on_options (These are strictly for practice- there is no due date)
If you find a blank page or a message, "timed out", click on your browser refresh page icon (clockwise arrow in firefox)

Procter and Gamble call spread investment example

Procter and Gamble option prices Nov 20 2009

458-558_sample_exam2_problems.pdf

Maple worksheet 458-558_binomial_lattice_option_pricing.mw
View PDF file listing of Maple worksheet 458-558_binomial_lattice_option_pricing (without needing Maple installed)

Maple worksheet 458-558_Black_Scholes_option_pricing.mw
View PDF file listing of Maple worksheet 458-558_Black_Scholes_option_pricing (without needing Maple installed)

Excel 97/2000 worksheet 458-558_Black_Scholes_call_option_example.xls

https://ubcats.cas.buffalo.edu UB CATS Teaching Evaluation also linked through MYUB