21-270: Welcome to Introduction to Mathematical Finance

Welcome to 21-270 Introduction to Mathematical Finance. This blog will be used for announcements and information related to the course. You will find your homework assignments on the Schedule Page of the Course Website. There is also a Blackboard site for the course, which will be used to distribute the text and solutions to assignments, and also to allow you access to your recorded grades.

During the semester, we will investigate the pricing of derivative securities (derivatives) and of fixed income securities (bonds). We will focus on some apparently simplistic models of financial markets. These models, though, illustrate many of the concepts that are necessary to develop and understand more complicated models in 21-370 Discrete Time Finance and 21-420 Continuous Time Finance. Moreover, some of the models we will consider play a direct role in building the models used in Discrete Time Finance.

21-370: Final Statistics

Here are the final Statistics for the semester. You can see grade cutoffs for each exam and for cumulative averages. It also shows grade distrubutions for each of the exams.

21-260: Final Statistics

Here are the final Statistics for the semester. You can see grade cutoffs for each exam and for cumulative averages. It also shows grade distrubutions for each of the exams.

21-370: Stock price for HW#9

As I announced in class, the initial stock price for the third homework problem is S₀=8. I've updated the assignment to reflect this.

UPDATE: I've also made a correction to problem 1. X_n+1(H)=g_n(X_n) and X_n+1(T)=h_n(X_n).

21-370: Homework - Wek #9

The reading and homework assignments for Week #9 have been posted. The reading is from a set of notes written by Profs. Hrusa and Kramkov. I've posted a pdf file of the notes. The homework assignment is also a downloadable pdf. Since I've posted this late this week, I'll give you until Friday to complete the assignment this week. You can follow the links from the Schedule page.

21-260: Week #6

The reading and homework assignments for Week #6 have been posted. You can follow the link from the schedule page.

21-370: Week #5

The reading and homework assignment for Week #5 have been posted.

21-260: Week #4

The reading and homework assignments for Week #4 have been posted. Follow the link from the Schedule page.

21-370: Homework - Week#4

The reading and homework assignments for Week #4 have been posted. You can follow the link from the Schedule page.

21-260: Pay No Attention to the Hint for Problem 2.1.23b

The WileyPLUS "Hint" for this problem is incorrect. The "transition from one type of behavior to another" is this: for some initial conditions, the solutions increase without bound as t approaches infinity; for other initial conditions, the solutions decrease without bound. You want to find the initial condition y(0)=a_0 that identifies the solution that separates these two types of behavior. The solution doesn't involve finding derivatives and setting them equal to zero.