MATH 516/STAT 541. Advanced probability and options, with numerical methods. Fall 2009

• Office: Math 542
• Office hours: TTh 3:00 - 4:15, or by appointment
• Phone: (765) 494 6036
• E-mail: figueroa@stat.purdue.edu (best way to contact me)

• Computational project 2. Due date: Thursday November 6..
• Midterm: Thursday October 22. Place: University 217. Time: 8:00 - 10:00 p.m.
Important note: The midterm will cover all material up to change of Numeraire (Problems of HW 1 to HW 4).
• Homework 4. Due date: Friday October 30..
• Note: Addition HW solutions will be left in the math library on Monday.
• Homework 3 Due date: Thursday October 15. Solutions to selected problems.
• Homework 2 Due date: Thursday September 24. Solutions to selected problems.
• Homework 1 Due date: Thursday September 10. Solutions to selected problems.
• Syllabus.

• Part I: Interest-rate models and derivatives.
  • Notes
  (These notes will be updated through the semester as we progress).
  • Old notes.
• Part II: Numerical methods.
  • Notes
  (These notes will be updated through the semester as we progress).
  • Old notes.