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TA: Fan Zhang, Email:fanzhang@ams.sunysb.edu
Since most questions will be regarding the final test, the office hours on 05/05 and 05/12 will be merged into the review sessions. So NO office hours on 05/05 and 05/12 and all questions will be answered during review sessions.
Also 512 sample final will be sent via emails to those who notified me, so please contact me with your info if you have not done so.Thanks

TA: Fan Zhang, Email:fanzhang@ams.sunysb.edu
Everyone sends an email to TA (and CC to Prof. Rachev) ASAP to state the following:
1. Name and stony brook ID #.
2. Whether you are taking the final or doing the project (or both)
3. If you are doing the project, what is the title?
Deadline for the project: 05/16 2PM
You should submit your final paper (in PDF format) via email. Please send it to TA and CC to Prof Rachev by the deadline. NO late submission will be accepted.
Final exam date: 05/19, 5:15PM to 7:45PM, same classroom. Again, remember to let TA know if you are taking the final exam.
Lectures on 05/05 and 05/12 will be reviews on the final exam and (if time permits) the upcoming QF qualifying exam.If you are planning to attend these review sessions, please let TA know.

AMS512 Capital Markets and Portfolio Theory

Email: rachev@statistik.uni-karlsruhe.de,

Office Hours: Friday, 11am-1pm, AMS 1-116

Development of capital markets and portfolio theory in both continuous time and multi-period settings.
Utility theory and its application to the determination of optimal consumption and investment policies.
Asymptotic growth under conditions of uncertainty. Applications to problems in strategic asset allocation over finite horizons and to problems in public finance.
Whenever practical, examples will use real market data. Numerical exercises and projects in a high-level programming environment will also be assigned.

3 credits, ABCF grading

Lectures: Thursday 5:20PM - 8:20PM, Physics P113

Notes: can be downloaded on this website

Options, Futures, and Other Derivatives with Student Cd 7th, International Edition 2009 by John C hull (2009)
Portfolio Theory and Capital Markets by Sharpe (ISBN 9780071353205)
Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio selection, and Option Pricing, Rachev, S., Menn C. and Fabozzi F. , John Wiley, Finance, 2005
Financial Optimization, by Stavros A. Zenios, 1993, Cambridge, University Press.

The lecture notes are very extensive and it is sufficient to use the complete set of lecture notes during the course and exam preparation.

Exam: Students have two options:

Preparation of an individual project. The project will be assigned within the first two weeks of classes; the written project will be supplemented with PDF presentation which will be sent to the instructor and presented for 30 minutes in his office.
The work is strictly individual. No joint work will be accepted. The work and the presentation should be delivered before May 19.
Written final exam on the overall material covered in class - theoretical and computational problems will be given. Final Exam: May 19, 5:15-7:45 pm.

Additional class is cancelled, all students are invited to "Analytical Careers and Internship in Finance"

Location: Wang Center - room 201

Time1: Mon, 5:00pm - 7:00pm, Monday, March 14, 2011

Moderator: Prof. Svetlozar(Zari) Rachev

Panelists: