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 2013-2017.
Please email me any typos or corrections you notice.
| Slides | Worksheets | Notes | Code | Lecture 1: Introducting MATLAB. Writing functions | Introduction |
|---|---|---|---|
| Chapter 1 | chapter1.zip |
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| Chapter 2 | chapter2.zip |
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| Lecture 2: Tests, flow of control, vectorization | |||
| Chapter 3 | chapter3.zip |
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| Lecture 3: Numerical Integration | Chapter 4 | lecture3.zip |
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| Lecture 4: Simulating Black Scholes, Monte Carlo Pricing | Chapter 5 | lecture4.zip |
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| Lecture 5: Delta and Gamma hedging | Chapter 6 | lecture5.zip |
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| Lecture 6: More interesting processes - Cholesky decomposition and Euler method | Chapter 7 | lecture6.zip |
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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 |
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| Lecture 8: The explicit finite difference method. | lecture8.zip |
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| Lecture 9: The implicit and Crank-Nicolson methods. | lecture9.zip |
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| Lecture 10: Optimization Data: Google Options, Stock prices |
Chapter 10 | lecture10.zip |
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| Lecture 11: Richardson extrapolation, variance reduction techniques. Revision. | lecture11.zip |
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| 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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