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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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…
mat133-2021-06-02-minimum-variance-line
From Matthias Koeppe
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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…
mat133-2021-05-28-variance--covariances--Markowitz…
From Matthias Koeppe
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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…
mat133-2021-05-26-risk-measures--expectation--vari…
From Matthias Koeppe
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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…
mat133-2021-05-21-american-options
From Matthias Koeppe
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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…
mat133-2021-05-14-pricing-asian-options
From Matthias Koeppe
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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…
mat133-2021-05-12-arbitrage-portfolios
From Matthias Koeppe
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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…
mat133-2021-05-10-european-derivatives--fundamenta…
From Matthias Koeppe
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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…
mat133-2021-05-07-multiperiod-replication
From Matthias Koeppe
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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…
mat133-2021-04-30-conditional-expectation--discoun…
From Matthias Koeppe
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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…
mat133-2021-04-28-conditional-expectation
From Matthias Koeppe
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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…
mat133-2021-04-26-multiperiod-binomial-model
From Matthias Koeppe
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mat133-2021-04-21-review--return--expectation 12 of 15
mat133-2021-04-21-review--return--expectation
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…mat133-2021-04-21-review--return--expectation
From Matthias Koeppe
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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…
mat133-2021-04-18-office-hours-model-free-replicat…
From Matthias Koeppe
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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…
mat133-2021-04-16-put-option--model-free-replicati…
From Matthias Koeppe
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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…
mat133-2021-04-14-forward-price--call-option
From Matthias Koeppe
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