Notice Board

• Solutions to last year's paper now available (see below)
• Thanks for your positive feedback. Glad you enjoyed the course!
• Courseworks 6 to 8 can now be collected from the School Office
• Have a nice break!
• There are no lectures in week 7 and there are no tutorials in week 7 and week 8
• Wednesday tutorials will now be in Room E303 in the Queen's Building
• First exercise sheet will be handed out in week 2; the exercise routine will commence in week 3
• First lecture: Tuesday 27.09. at 12 noon in the Drapers Lecture Theatre
• There are no exercise classes in week 1
• More information will appear here towards the beginning of term

Course information

• Course description from the Maths UG Handbook
• Organisational details

Exam

• The final exam will take place 3 May 2012
• Have a look at last year's exam to get an idea what this year's exam will look like. You may also want to look at the solutions to check your answers
• Exam papers from previous years allow you to check for gaps in your knowledge

Coursework

• Coursework 1 (due Oct 14) solutions
• Coursework 2 (due Oct 21) solutions
• Coursework 3 (due Oct 28) solutions
• Coursework 4 (due Nov 4) solutions
• Coursework 5 (due Nov 25) solutions
• Coursework 6 (due Dec 2) solutions
• Coursework 7 (due Dec 9) solutions
• Coursework 8 (due Dec 16) solutions

Lecture notes

• Blow-by-blow account
• Chapter 0: Introduction to the Course (complete)
• Chapter 1: Probability (complete)
• Chapter 2: Stochastic Processes (complete)
• Chapter 3: Interest Rates and Present Value Analysis (complete)
• Chapter 4: Option Pricing and Arbitrage (complete)
• Chapter 5: The Black-Scholes Model (complete)

Handouts

• Table of the cumulative standard normal distribution
• Slides for lecture 19: [a4], [a6]
• Slides for lecture 27: [a4], [a6]

Slides, pictures, and other stuff used in lectures

• Lecture 1
  • Great copper mountain in Falun (Sweden)
  • Oldest surviving share
  • Stock market building in Bruges
  • Stora Enso stock price
• Lecture 3
  • Company profits example
• Lecture 12
  • Maple simulation of Brownian Motion
• Lecture 13
  • Stochastic processes
  • Robert Brown
  • Norbert Wiener
• Lecture 15
  • Louis Bachelier aged 15
  • Louis Bachelier in academic dress
  • Published version of Bachelier's doctoral dissertation
• Lecture 16
  • Maple simulation of geometric Brownian Motion
• Lecture 17
  • Usurer 1
  • Usurer 2
  • Money Lenders 1
  • Usury protest
• Lecture 18
  • Bagel
  • Dr Frasier Crane
• Lecture 19
  • Present value of cash flow streams
• Lecture 20
  • Hyperinflation in Germany 1923
  • Money used as wall paper
  • 50 Millon Mark bill
  • Burning money
• Lecture 27
  • Slides

last updated: 25 April 2012 (OFB)