This is the website for the FM06 course. There are more extensive notes for some of the lectures in the form of chapters of an imaginary book. Due to time constraints I haven't been able to produce more extensive notes for absolutely every lecture as yet.
All material is © John Armstrong 20132017.
Please email me any typos or corrections you notice.
Slides  Worksheets  Notes  Code 

Lecture 1: Introducting MATLAB. Writing functions  Introduction  
Chapter 1  chapter1.zip 

Chapter 2  chapter2.zip 

Lecture 2: Tests, flow of control, vectorization  
Chapter 3  chapter3.zip 

Lecture 3: Numerical Integration  Chapter 4  lecture3.zip 

Lecture 4: Simulating Black Scholes, Monte Carlo Pricing  Chapter 5  lecture4.zip 

Lecture 5: Delta and Gamma hedging  Chapter 6  lecture5.zip 

Lecture 6: More interesting processes  Cholesky decomposition and Euler method  Chapter 7  lecture6.zip 

Lecture 7: Risk Management and Modern Portfolio Theory. Note
that Chapter 11 is where you'll find a prose write up of modern portfolio theory, I decided to bring this
forward in the course this year. Video 1: Value at Risk and how to compute it Video 2: Expected Shortfall and the theory of risk 
Chapter 8  lecture7.zip 

Lecture 8: The explicit finite difference method.  lecture8.zip 

Lecture 9: The implicit and CrankNicolson methods.  lecture9.zip 

Lecture 10: Optimization Data: Google Options, Stock prices 
Chapter 10  lecture10.zip 

Lecture 11: Richardson extrapolation, variance reduction techniques. Revision.  lecture11.zip 

Revision Lecture 
Note that the format of the exam has changed in 2020. You will be expected to answer 3 of 4 questions rather than 4 of 5. This is intended to reflect the fact that 20% of the mark is from coursework.
Paper  Comments  Solutions 

Mock questions  This was written in 2014 as an illustration of the type of questions I might ask.  Solutions 
Bonus questions  These were written in 2014 to give more examples of the types of questions I might ask.  
August 2019  Solutions  
May 2019  Solutions  
May 2018  There were only 4 questions this year  Solutions 
August 2017  
May 2017  Solutions  
August 2016  
May 2016  Solutions  
May 2015  
May 2014  Solutions  
May 2013  Only Q1, Q4, Q5 are currently examinable.  
May 2012  Only Q1, Q2, Q3, Q4 are currently examinable.  
May 2011  Only Q1, Q2 are currently examinable. 
I will not provide solutions for all past exam papers as I believe it is better for you educationally to solve the problems yourself. The solutions for the mock and bonus questions will be made available at the end of term, those for May 2014 and May 2016 are available immediately.
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