Office Hours

• Wednesday & Friday 3-4pm, MSB3226.
  
• TA: Jiawei Wong

Pre-requisite MAT 135A

Texts Investment Science, 2nd edition by David Luenberger

Topics

• Theory of interest and fixed income securities
• Mean-variance portfolio theory
• Capital asset pricing model
• General principles: utility functions, linear pricing, finite state models, risk-neutral pricing.
• Financial derivatives: forwards, futures, and options

Examinations

• Midterms: TBA
• Final: Mon. Jun.11 at 3:30pm

Grades homework (10%), 2 midterms (40%), Final (50%).

• Practical men, who believe themselves to be quite exempt from any intellectual influence, are usually the slaves of some defunct economist. -- J. M. Keynes
• To convert a model into a quantitative formula is to destroy its usefulness as an instrument of thought. -- J.M. Keynes (I.e. think not just calculate).
• All financial innovation involves the creation of debt secured in greater or lesser adequacy by real assets. All crises have involved debt that, in one fashion or another, has become dangerously out of scale in relation to the underlying means of payment. -- J.K. Galbraith