The most recent class announcement will be listed first.
Final Stats (out of 100):
- Mean: 76
- Median: 81
- Max: 100
- Min: 35
- Std Dev: 17
Final’s schedule:
· Seniors: June 2nd, 5:00pm to 7:00pm, HM130.
· Non-seniors:
o Section 1: June 11th, 1:30pm to 3:30pm, HM103.
o Section 2: June 9th, 4:00pm to 6:00pm, HM103.
There will be only one review session on Thursday May 28th from 4 to 4:50 in STU 102. Mariano will go over Problem Set 3.
Problem Set 3 is due on Monday June 2nd. Please put your answers before 4pm in Mariano’s folder in front of RO 203. There will be a review session on Thursday May 22nd. Mariano will answer doubts about Problem Set 3.
Mariano’s office hours have changed. They will be on Tuesdays from 12 to 2 pm, in Stuart cafeteria.
There will be a review session on Thursday May 15th. Mariano will solve problem set 2.
Midterm Stats (out of 100):
- Mean: 61
- Median: 60
- Max: 100
- Min: 23
- Std Dev: 17
Problem Set 2 is due on Thursday May 15th. Please put your answers before 4pm in Mariano’s folder in front of RO 203. There will be a review session on Thursday May 8th. Mariano will hand in the midterms and answer doubts about Problem Set 2.
There will be a review session on Thursday 1st. Mariano will solve the midterm.
There will be a TA session on Thursday 24th. As usual, Section 1: 4-4:50 in STU 102. Section 2: 5-5:50 in STU 104.
There will be a review session on Thursday 17th. Section 1: 4-4:50 in STU 102. Section 2: 5-5:50 in STU 104. Mariano will solve Problem Set 1.
Please check the new version of Problem Set 1. There was a typo in question 2, part (a).
Mariano’s office hours will be on Tuesdays from 1 to 3 pm, in Stuart cafeteria.
Problem Set 1 is due on Thursday 17th. Please put your answers before 4pm in Mariano’s folder in front of RO 203.
There will be a review session on Thursday 10th. Section 1: 4-4:50 in STU 102. Section 2: 5-5:50 in STU 104. Mariano will answer doubts about Problem Set 1.
There is no review session for the first week of classes.
The syllabus is on Lecture Notes I, below
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Lecture Notes IV (see also pdf file forward vs futures, below) Lecture Notes VI (see also pdf file swaps details, below)
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Problems Sets
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Forward vs Futures , pdf
Swaps, details , pdf
Risk Neutral Probabilites, spreadsheet
Put-Call using BS and Binomial, spreadsheet
Put-Call using Monte Carlo, spreadsheet
Log Normal Formulas, derivation pdf
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Send emails to me at f-alvarez1@uchicago.edu
or to your TA: Mariano Lanfranconi:
mailto:mlanfran@uchicago.edu