Professional Documents
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Course information
Meeting times: Monday, Wednesday 1:30 2:50 pm
Room: Friend Center 006
Office hours: Tuesday 10 - 11 am
Wednesday 10 -12
Thursday 10 - 11 am
Precepts:
Monday 7:30 8:20 pm Friend Center 009
Tuesday 7:30 8:20 pm Friend Center 009
Monday 7:30 8:20 pm Engineering Quad D-Wing D221
Assistant Instructors:
Aurele Galle, Zongxi Li, TBA
Course description
Financial Mathematics is concerned with designing and analyzing products that improve the
efficiency of markets and create mechanisms for reducing risk. This course introduces the basics
of quantitative finance: the notions of arbitrage and risk-neutral probability measure are
developed in the case of discrete models. Black-Scholes theory is introduced in continuous-time
models, and credit derivatives and the term structure of interest rates are discussed, as well as
lessons from the financial crisis.
Course content
The following topics are subject to be covered:
Textbook
J. Hull, Options, Futures, and Other Derivatives, 8th edition, Pearson, ISBN 978-0-13-216494-8
(required)
Technology
R Software and DerivativesRiskSoft available for free from instructors website.
(PC users should be OK, but for the MAC users consult the page
http://stackoverflow.com/questions/3385652/how-to-run-c-sharp-desktop-application-with-
extension-exe-in-mac-osx)
Evaluation
There is one midterm and a final comprehensive examination. There is bi-weekly Homework
consisting of a problem set and some reading from the material presented during that week
(approximately four-hour work per week). The Homework is posted weekly on Blackboard.
The weights are distributed as follows:
Instructor Information
I am a visiting professor at Princeton University in the Department of Operations Research and
Financial Engineering and you are my primary responsibility. I am happy to meet with you on
any issue regarding class activity and to provide help when you do not understand something we
have covered. You may approach me in my office before the class or during office hours. Also,
my email address is ocalin@princeton.edu. More information about my teaching and research
interests can be found at my webpage http://www.princeton.edu/~ocalin/
Students with disabilities
Students must register with the Office of Disability Services (ODS) (ods@princeton.edu; 258-
8840) for disability verification and determination of eligibility for reasonable academic
accommodations. If you are approved for accommodations and would like to discuss
implementation with me, please make an appointment to meet in order to maintain
confidentiality in addressing your needs. Requests for testing academic accommodations for this
course should be made at least two weeks in advance, or as soon as possible for newly approved
students, in order to make arrangements to implement the accommodations. No accommodations
may be given without authorization from ODS, or without sufficient advance notice.