The following websites are helpful to start learning about financial derivatives. We may refer to the these in lecture and in problem assignments.

  • The web site of the American Stock Exchange, which runs an options exchange.
  • This site contains a glossary of the terms and concepts of finance. Many of the entries are extensive and are generally well-written and clear.
  • This site is for options education sponsored by the Options Industry Council.
  • You may also wish to check out the Chicago Board Options Exchange .


    • Course materials


















  • Syllabus
  • Notes on financial assets - Some examples of financial derivatives
  • Notes on financial modeling in discrete time
  • Notes on no arbitrage pricing and replicating portfolio
  • Homework 1 (Sol) - Homework 2 (Sol) - Homework 3 (Sol) - Homework 4 (Sol) - Homework 5 (Sol)
  • Homework 6 (Sol) - Homework 7 (Sol)
  • Midterm 1 (Sol) - Midterm 2 (Sol)
  • Derivation of Black-Scholes PDE
  • Derivation of Black-Scholes formula
  • Verifying cash or nothing option satisfies the Black-Scholes PDE
  • Binomial price approximation to the Black-Scholes price
  • Computing the price of a derivative that pays (S^2_T - K)^+
  • Hedging and the Greeks
  • Ito integral computation
  • Final review
  • Final exam (Sol)