MATH 516/STAT 541. Advanced probability and options, with numerical methods. Fall 2008

• Office: Math 542
• Office hours: MW 3:35 - 4:50, or by appointment
• Phone: (765) 494 6036
• E-mail: figueroa@stat.purdue.edu (best way to contact me)

• Homework 6. Due Wednesday Nov. 19.
• Homework 5. Due Tuesday Nov. 4.
• Exam 1: Evening October 6th. Place and time: MATH, 215 at 8:00 p.m.
• Homework 4. Part I due Wednesday October 8. Part II due Friday October 10. Selected solutions.
• Homework 3. Due Friday Septermber 26. Selected solutions.
• Homework 2. Due Monday September 15. Selected solutions.
• Homework 1. Due Friday September 5. Selected solutions.
• Syllabus

• Part III: Simulation-based methods.
  • Lectures 24.
  • Notes. (These notes will be updated through the semester as we progress).

• Part II: Finite-Difference Methods.
  • Lectures.
  • Notes. (These notes will be updated through the semester as we progress).

• Part I: Interest-rate models and derivatives.
  • Notes.
  • Lecture 13-15.
  • Lecture 11-12.
  • Lecture 8-10.
  • An article about the implementation of interest-rate models.
  • Lecture 6 to 7.
  • Lecture 4 to 5.
  • Lecture 1 to 3.