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MATH3090
Financial Mathematics 2008
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This site contains online
web resources for MATH3090 Links
will be added during the course of the semester.
- The course profile for math3090 or math7039
gives a list of topics and details of assessment.
- Here is a week by week account of our complicated timetable.
There are many online resources in Finance. For example:-
Messages
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Assignment: ·
Exercise 2 on the first
set of notes. Here is some data for NAB (May98-May08,
or if you wish to really analyse the NAB price history Jan84-May07).
(I changed the link on 13/05 so the link now goes to May 2008 not
2007.) ·
Exercise 3 on the
arbitrage notes. ·
The final question was
handed out in the lecture notes on Monday 19th. One of the competing protected portfolio
loans is described at Graeme
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Part III. An Introduction to Mathematical
Finance (Weeks 9-13)
These
lectures introduce some key Mathematics that has had wide influence in Finance.
- I Behaviour of Share Prices. (exhibits).
Tutorial week 10, answers, spreadsheet. - II Options & Arbitrage
Tutorial week 11 BHP options data (2007). answers, eXcel - , III SDE and Ito's Lemma (Tute
week 12 (with answers), spreadsheet)
- IV The Black Scholes Analysis.
Web Resources.
- Share market data is available from http://au.finance.yahoo.com, and
other places.
- If you cannot make real money, you can try
for a Nobel Prize in
Economics. Harry Markowitz, Merton Miller, and William Sharpe won the
prize in 1990
for their development of Modern Portfolio Theory. In particular Prof. Sharpe writes Matlab programs
to help others use his ideas; the only Nobel laureate known to do so. (See
his Introduction
to Matlab.)
- The 1997 Nobel Prize in
Economics
was awarded to Robert Merton and Myron Scholes for the development of the
Black Scholes formula.
CTM Simulation Game. Weeks 5-9.
The details of the game are described
in the Game Book. Paper copies will be given out in class!
Some example
deal slips based on an old rates sheet. (Do
NOT fill in the explanatory comments during the game.).
Quarter 4 Results
Name
|
Duration 3.67 |
MCF
Qtr
|
Savings
v Bench
|
Cash
at Bank
|
CTM
Company Profit
|
CFX
Savings v Bench
|
Key
Personnel
|
Light Blue
|
2.77 |
2,675,186 |
24,812,852 |
-482,294 |
-9,732,263 |
Gerard, Emily, Madeline,
|
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de la Creme
|
2.75 |
2,478,385 |
-0.52 |
576,652 |
-3,941,111 |
Elsie, Megan, Esther, Simon
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|
Green Machine
|
2.44 |
95,355,595 |
-1,451,679,770 |
-44,118,317 |
-9,319,580 |
Kate, Navin, Adam, Logan
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Pale Team
|
2.74 |
3,576,226 |
33,852,714 |
-697,438 |
-3,283,332 |
Rachael, Matt, Volodia
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Team Marmalade
|
2.71 |
3,292,332 |
0.44 |
587,167 |
8,545,647 |
Andy, Liya, Sonny
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Pink Floyd
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2.69 |
3,739,052 |
110 |
588,605 |
-3,716,924 |
Ahmad, Chucky, Nick, Paul
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Team Purple
|
2.75 |
2,875,723 |
250 |
266,914 |
-3,855,240 |
Damien, Daniel, Riki, and Bo
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TKHJ
|
2.87 |
2,701,310 |
61,634,991 |
-516,880 |
8,545,647 |
Tom, Kat, Huy, Jeff
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The Redz
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2.68 |
2,682,156 |
-1 |
536,180 |
13,894,082 |
Stewart, Edwin, Irwin, Louise
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Includes Cu trading savings
converted to AUD as at 15/12/08.
Name
|
MVCF
Cumul 8.49%pa |
Cumulative
Savings v Bench
|
Cumul
CTM Company Profit
|
Prize
|
Light Blue
|
8.05% |
4,932,415 |
299,968 |
313,224 |
de la Creme
|
8.28% |
2,385,068 |
1,200,195 |
1,283,098 |
Green Machine
|
-0.32% |
96,442,330 |
-42,376,032 |
- 24,019,524 |
Pale Team
|
8.02% |
5,390,691 |
-401,531 |
348,274 |
Team Marmalade
|
8.16% |
3,752,039 |
2,085,859 |
3,690,831 |
Pink Floyd
|
7.84% |
7,321,131 |
2,329,652 |
3,422,186 |
Team Purple
|
8.08% |
4,704,398 |
-7,178,970 |
-6,623,615 |
TKHJ
|
8.27% |
2,446,077 |
773,208 |
2,116,989 |
The Redz
|
8.13% |
4,023,751 |
1,990,791 |
4,184,950 |
Quarter 3 Results
Name
|
Duration 3.67 |
MCF Qtr (%pa)
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Savings v Bench
|
Cash at Bank
|
CTM Company Profit
|
CFX Savings v Bench
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Key Personnel
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Light Blue
|
3.31 |
10.07% |
428,856 |
-2,873,740 |
465,560 |
-9,292,796 |
Gerard, Emily, Madeline,
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de
la Creme
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3.54 |
10.23% |
-31,882 |
-133,843 |
573,670 |
-3,501,644 |
Elsie, Megan, Esther,
Simon
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Green
Machine
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3.42 |
9.93% |
828,710 |
-1 |