Syllabus for MA  591 , Fall 2011

Instructor: Jeffrey S. Scroggs

Office Hours: Posted at http://www4.ncsu.edu/~scroggs/mywebsite/OfficeVisits.html.
E-mail address: scroggs@math.ncsu.edu (use MA591 in the Subject line).
Office: 2108 SAS
Phone Number: 919.515.7817
Home page: http://www4.ncsu.edu/~scroggs/mywebsite
Class Meets: Harrelson Hall, rm G100,
-----Tu 1:30 - 4:00pm
-----Th 1:30 - 2:45pm

Course Pre-requisites

Knowledge of Statistics, Calculus, Linear Algebra, Differential Equations.

Learning Outcomes

Goal: This is an introduction to elementary programming concepts with Monte Carlo techniques for options pricing.  Starting with a problem suitable for mathematical analysis, students will be able to analyze the problem, and either identify appropriate Matlab tools to solve the problem, or create new tools.  Scientific visualization is included .  Participating in this course, you will learn

• selecting and using visualization techniques that facilitate understanding the data for the problem being solved
• using data-hiding and data-sharing (scope of variables)
• selecting and using programming control-flow constructs that include
  • for-loops
  • while-loops
  • if-then-else (and switch)
  • try-catch (exception handling)
  • nesting control-flow constructs

Monte-Carlo

Textbook Information

Required: Monte Carlo Methods and Models in Finance and Insurance, Ralf Korn, Elke Korn, Gerald Kroisandtt. Available from Amazon.com.

Required: USB drive

Required: NUMERICAL COMPUT.W/MATHLAB-REV.REPRINT Ed: 1ST Yr: 2004, Cleve Moler, ISBN: 97808987166
Availble for free online

Required: Two "blue books", available from local bookstores.

Recommended: Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, Paolo Brandimart. Available from Amazon.com.

Good book: Monte Carlo Methods in Financial Engineering, Paul Glasserman.

Projected Schedule of Homework, Quizzes, and Exams

Except for Quiz 0, quizzes will not be announced in advance.

Quiz 0 will cover this syllabus. Specifically, you are required to know the material found in the Academic Integrity Statement. This quiz will be given the first day of class.

Homework will be assigned throughout the course.

There will be one mid-term exam and one final exam. Each exam will have a take-home portion and an in-class portion.

The take-home portion of the final exam will be assigned during the last week of class.

How Grades are Determined

Homework

Homework assignments are posted in course web page. Each problem in the homework will usually be worth between 1 and 3 points. Homework will be submitted via Wolfware "submit".

The Homework Guide describe the grading scales used.

Grades

Total Grade = (Quiz 0 score)*(Homework + Quizzes + Mid-term + Final)

Range	Grade
97.6 <= X <= 100	A+
92.3 <= X < 97.6	A
90.0  <= X < 92.3	A-
87.6 <= X < 90.0	B+
82.3 <= X < 87.6	B
80.0 <= X < 82.3	B-
77.6 <= X < 80.0	C+
72.3 <= X < 77.6	C
70.0 <= X < 72.3	C-
67.6 <= X < 70.0	D+
62.3 <= X < 67.6	D
60.0 <= X < 62.3	D-
X < 60	F

Policy on Incomplete Grades and Late Assignments

Incomplete grades will not be given. You must complete the assignments for the course as the semester progresses.

Policy on Attendance, Excused Absences, Missed Work

NCSU policy, including what constitutes an 'Excused Absence,' is covered in REG 02.20.3.

No late assignments will be accepted. The penalty for submitting an assignment late is a zero on the assignment.

Academic Integrity Statement

Students are required to follow NCSU policy available at www.ncsu.edu/provost/academic_regulations/integrity/reg.htm.  "Academic dishonesty is the giving, taking, or presenting of information or material by a student that unethically or fraudulently aids oneself or another on any work which is to be considered in the determination of a grade or the completion of academic requirements or the enhancement of that student's record or academic career." (NCSU Code of Student Conduct)

Much of the code you will be generating has probably already been written as a Matlab Demo or Matlab Function. If you are instructed to generate the code, use of predefined Matlab demos, or code from another source, will be considered a violation.

Homework. I encourage a free exchange of information regarding 'how to' accomplish the tasks in the homework. You can give and receive verbal assistance, write things down, point at the computer screen, nearly anything. You cannot exchange electronic versions of files or type on an assignment that is not yours. As appropriate, indicate who you receive assistance from.

Quizzes. You must work completely independently on quizzes.

Mid-term and final exam. You must work completely independently on exams. Do not talk with anybody except Dr. Scroggs regarding the content of the exam. You are suggested to not even talk about how the level of difficulty with other people.

Penalties for a violation: For the first violation, you will receive a zero on the assignment and be put on academic integrity probation for the remainder of your stay at NCSU. The second violation may result in your suspension from NCSU. Both situations will involve the Office of Student Conduct.

The Student Affairs web site has more information (http://www.ncsu.edu/student_affairs/osc/AIpage/acaintegrity.html).

Utilization implication of the Honor Pledge

The pledge, that you "have neither given nor received unauthorized aid on this test or assignment", is implicit in everything you turn in for this course. The penalty for non-compliance is mentioned above.

Further Information

• Notifications: Students will be notified via email of announcements associated with this course.  The email address registered with the NCSU online directory will be used for this purpose.  It is the student's responsibility to maintain a valid email address and check the email sent to it.
• NCSU Academic Regulations can be found at www2.ncsu.edu/unity/project/www/ncsu/provost/info/academic_policies/