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instructor |
Prof. Alec N. Kercheval |
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contact me |
113 Love Building; 644-8701 (office); 644-2202 (front desk) webpage: http://www.math.fsu.edu/~kercheva/ Note: See the course Blackboard page for handouts and other materials. |
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| office hours | MWF 10-11 am; or by appointment | ||
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eligibility |
This course is designed for 2nd-year students in the Financial Mathematics Graduate Program. Others may enroll with consent of the instructor. Students should have already taken MAP 5601 Introduction to Financial Math, and FIN 5515 Investments, or equivalent. | ||
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primary textbooks |
R.C. Grinold and R.N. Kahn, Active Portfolio Management, 2nd Editon, McGraw-Hill, 2000. Martin Baxter and Andrew Rennie, Financial Calculus, Cambridge Univ. Press, 1996. Also recommended: Qian, Hua, and Sorensen, Quantitative Equity Portfolio Management: Modern Techniques and Applications, Chapman and Hall/CRC, 2007. |
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objectives |
The purpose of this course is to further develop and reinforce the
quantitative skills and intuition needed by financial engineering
professionals.
The course will be divided into three sections: Quantitative Active Portfolio Management: a practical view of how portfolio managers quantitatively approach their job, with an view to understanding more of the underlying mathematics than the MBA course allows. We develop portfolio theory enough to rigorously understand the derivation of basic properties of Markowitz mean-variance portfolio optimization. Text: Grinold and Kahn. Financial Calculus -- Discrete Theory: in which we try to look carefully at the ideas underlying the stochastic mathematical models that are used for pricing most derivatives and interest rate instruments. Our goal is to seek an essential understanding of the fundamentals, including various concepts of arbitrage and the fundamental theorem of asset pricing, undistracted by the technicalities of continuous time analysis. The general discrete model is a good accessible setting for understanding essential ideas. Text: Lecture Notes Handout. Financial Calculus -- Continuous Theory: where we look at the stochastic differential equation formalism for Black-Scholes derivative pricing, and extend the discussion to interest rate modelling as time allows. Text: Baxter and Rennie. |
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homework
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Homework will be assigned regularly and discussed in class. Most of the homework grade will be based on student in-class presentation of homework solutions. At the end of the semester, students will also hand in a neatly organized folder containing personally written solutions to the homework problems assigned during the semester. | ||
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exams
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There will be three in-class exams, one covering each section
of the course, on dates to be announced.
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grading |
The course grade will be computed as follows: homework 10% (in-class presentations plus end-of-semester hand-in solutions), and each of the three exams 30%. On-time attendance is expected and will be used to resolve borderline grades. | ||
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makeups |
An unexcused missed exam receives a zero.
Those with prior permission or sufficient documentation
will substitute an oral exam. |
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honor code: The University Academic Honor Code can be found in the current Student Handbook; you are bound by this in all of your academic work. Each student has the responsibility to 1) personally uphold the highest standards of academic integrity, 2) refuse to tolerate violations of academic integrity, and 3) foster a mutual sense of integrity and social responsibility. In this class, you are permitted to work together with classmates on homework problems, but you must include only work written by yourself in your homework folder. All exams and any other assignments must reflect only your own work unassisted by others. |
| ada statement: Students with disabilities needing academic accommodations should, within the first week of class: 1) register with and provide documentation to the Student Disability Resource Center (SDRC); 2) bring a letter to the instructor from SDRC indicating you need academic accommodations. This and other class materials are available in alternative format upon request. |