Math 5632     General Information

• COURSE DESCRIPTION
  Math 5632 covers a big part of the topics of Exam MFE administered by SOA/CAS. The prerequisite includes Math 618 and probability (Math 530/4530 or Stat 420/4201). It is assumed you will be familiar with put and call options and forward contracts.

• PREREQUISITE
  Mathematics 618/3618, and Math 530/4530 or Stat 420/4201.

• TEXT
  "Derivatives Markets" by Robert L. McDonald

• HOMEWORK
  Selected homework problems will be collected. Home work will not be counted in the total grade, but may help in the borderline cases at the end of the semester.

• EXAMS
  There will be two midterm exams and a comprehensive final exam. Each exam is one hour long and is worth 100 points, and the total points for the semester is 300. Partial credit will be given to incorrect problems if enough correct work is shown. No formula sheet is allowed during the exams.

  There are no make up exams. If you miss an exam due to a medical reason and the instructor is notified ahead of time, your score on the final examination will be doubled to replace the missed midterm. If it is non-medical, you will not be able to replace the missed exam with the final exam unless you discuss the reason with the instructor ahead of time. The reason must be legitimate.

  The final exam will be taken at the time scheduled by the university without any exceptions including leaving OSU earlier than the semester ends. All exams will be one hour including the final exam.

  Any cases of academic dishonesty caught during an exam including wandering eyes will automatically earn you a 0 on the exam. (See the section about academic misconduct below.)

• GRADE
  Grades will be determined by the percent of the total possible points for the semester as 90-100 A, 80-89 B, 65-79 C, 50-64 D.

• SCHEDULE
  

  Week 1	Options and Parity (Chapter 9)
  Week 2	Binomial Model (Chapters 10 & 11)
  Week 3	Lognormal Distribution (Chapter 18)
  Week 4	Black-Scholes Formula and Greeks (Chapter 12)
  Week 5	Hedging (Chapters 12, 13)
  Test 1	September 26
  Week 6	Exotic Options I (Chapter 14)
  Week 7	Stochastic Calculus I (Chapter 20)
  Week 8	Stochastic Calculus II (Chapters 20)
  Week 9	Risk Neutral Pricing (Chapter 20)
  Week 10	Black-Scholes Equation (Chapter 21)
  Test 2	November 7
  Week 11	Simulation (Chapter 19)
  Week 12	Exotic Options II (Chapter 22)
  Week 13	Volatility (Chapter 23)
  Week 14	Interest Rate Models (Chapter 24)

• ACADEMIC MISCONDUCT
  It is the responsibility of the Committee on Academic Misconduct to investigate or establish procedures for the investigation of all reported cases of student academic misconduct. The term "academic misconduct" includes all forms of student academic misconduct wherever committed; illustrated by, but riot limited to, cases of plagiarism arid dishonest practices in connection with examinations. Instructors shall report all instances of alleged academic misconduct to the committee. For additional information, see the Code of Student Conduct (http://studentaffairs.osu.edu/pdfs/csc_12-31-07.pdf).