This is the official web page for MATH 6740-01.  Please consult this page regularly  to see all reading assignments and homeworks in a much clearer format than whatever I scrawl during lecture.  Check the "last updated" date above to see whether the new information pertaining to the last class has been entered.

Announcements

• Optional class on Thursday, May 12 at 2:00 PM in Amos Eaton 216 to finish discussion on risk-neutral option pricing formula
  

Instructor

• Peter R. Kramer (office: Amos Eaton 310, office hrs: Tuesdays 11 AM-noon, Fridays 4-5 PM (starting February 11), phone: 276-6896, email: kramep@rpi.edu)

 

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Handouts and Documents (PDF)

• Course information (PDF)
  

Reading List

Lecture Notes (PDF)

• January 27, 2011 (Audio)
• January 31, 2011 (Audio)
• February 3, 2011 (Audio)
• February 7, 2011 
• February 10, 2011
• February 14, 2011
• February 17, 2011
• February 24, 2011
• March 3, 2011
• March 7, 2011
• March 10, 2011
• March 24, 2011
• March 28, 2011
• March 31, 2011
• April 4, 2011
• April 7, 2011 (corrected 04/20/11)
• April 14, 2011
• April 18, 2011
• April 21, 2011 (updated with lecture notes of 04/25/11)
• April 28, 2011
• May 2, 2011
• May 5, 2011
• May 9, 2011 (updated on 05/10/11 to include additional important comment on expected cost/reward calculation)
• May 12, 2011

Problem Sets (PDF)

•  Homework 1 (LaTeX)
•  Homework 2 (LaTeX)
•  Homework 3 (LaTeX) (deadline extended to 04/28/11.  Problem 1.2 modified (simplified) on 04/26/11)
•  Homework 4 (LaTeX) (updated Problem 3 with bonus credit clause)