MAT 133 Mathematical Finance (Matthias Köppe; Spring 2021)
MAT 133 Mathematical Finance (Matthias Köppe; Spring 2021)
The course follows the textbook by Capiński and Zastawniak, Mathematics for Finance, An Introduction to Financial Engineering. The approach of the textbook is complemented by a review of probability and stochastic processes from a measure-theoretic viewpoint; and by computational explorations using the AMPL system.
Videos and all other materials are copyright 2021 Matthias Köppe and shared as Open Educational Resources subject to the Creative Commons Attribution-ShareAlike 3.0 Unported (CC BY-SA 3.0) license.
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From Matthias Koeppe
Geometry of portfolios. Minimum-variance line (curve). mat133-2021s-notes-2021-06-02.pdf 3D graphics: hw6B_3D_1_X=6_Y=8_Z=0.html hw6B_3D_2_X=6_Y=8_Z=0.html Videos and… -
From Matthias Koeppe
Variance, covariances, Markowitz bullets, minimum-variance portfolio. mat133-2021s-notes-2021-05-28.pdf models-2021-05-28.zip (cz_example_5_3.mod variance1.mod… -
From Matthias Koeppe
Risk measures. Expectation and variance. Portfolio weights. mat133-2021s-notes-2021-05-26.pdf Videos and all other materials are copyright 2021 Matthias Köppe and… -
From Matthias Koeppe
American options. mat133-2021-notes-2021-05-21.pdf Videos and all other materials are copyright 2021 Matthias Köppe and shared as Open Educational Resources… -
From Matthias Koeppe
Pricing Asian options by dynamic programming. mat133-2021s-notes-2021-05-14.pdf Videos and all other materials are copyright 2021 Matthias Köppe and shared as Open… -
From Matthias Koeppe
Arbitrage portfolios and the fundamental theorem. mat133-2021s-notes-2021-05-12.pdf models-2021-05-12.zip (arbitrage-2periods.mod) Videos and all other materials are… -
From Matthias Koeppe
European derivatives. Finding a risk-neutral probability. Fundamental theorem of asset pricing (statement). mat133-2021s-notes-2021-05-10-1.pdf Videos and all other… -
From Matthias Koeppe
Replication in the multi-period binomial model. mat133-2021s-notes-2021-05-07-1.pdf Videos and all other materials are copyright 2021 Matthias Köppe and shared as… -
From Matthias Koeppe
Conditional expectation. Discounted processes. mat133-2021s-notes-04-30.pdf models-2021-04-30.zip (condexp.mod) Videos and all other materials are copyright 2021… -
From Matthias Koeppe
Conditional expectation. mat133-2021s-notes-2021-04-28-1.pdf Videos and all other materials are copyright 2021 Matthias Köppe and shared as Open Educational… -
From Matthias Koeppe
Multiperiod binomial model. mat133-2021s-notes-2021-04-26.pdf Videos and all other materials are copyright 2021 Matthias Köppe and shared as Open Educational… -
From Matthias Koeppe
Review: Returns, logarithmic returns, expectation of a random variable. mat133-2021s-notes-2021-04-21.pdf Videos and all other materials are copyright 2021 Matthias… -
From Matthias Koeppe
Videos and all other materials are copyright 2021 Matthias Köppe and shared as Open Educational Resources subject to the Creative Commons Attribution-ShareAlike 3.0… -
From Matthias Koeppe
Put options. Model-free analysis of payoff functions using linear algebra. mat133-2021s-notes-2021-04-16.pdf Videos and all other materials are copyright 2021 Matthias… -
From Matthias Koeppe
Determining the correct forward price. Pricing call options. mat133-2021s-notes-2021-04-14.pdf Videos and all other materials are copyright 2021 Matthias Köppe and…