Finance 539 Mathematical Finance
Syllabus

Phil Dybvig
314-398-3186 (cell)
dybvig@wustl.edu
phildybvig (WeChat)
Washington University Olin School

TA support: Jiaen Li jiaenli@wustl.edu and Avantika Pal avantika.pal@wustl.edu

Section 1: http://dybfin.wustl.edu/teaching/mathfin21-1

Section 2: http://dybfin.wustl.edu/teaching/mathfin21-2

Section 3: http://dybfin.wustl.edu/teaching/mathfin21-3

Focus: Tools for Financial Decision-making

Analyzing choice problems is a useful tool for making financial decisions. Choice theory, often in conjunction with information from data, is especially useful in dynamic environments, since we can build the changing environment into the analysis. This course focuses on dynamic programming tools to analyze decisions over time, using applications from investments. We will study tools for solving for optimal decisions, and the conceptual framework is also very useful for thinking about decisions even if it is hard to write down a fully specified optimization model.

Prerequisites FIN 524 and FIN 538 or permission of the instructor.

Feedback Feedback is especially appreciated. I will give a modest amount of course credit for good suggestions on how to improve the course.

Organization of the course Lectures, review sessions, problem sets, and a final exam.

Course Requirements Grades will be based 100% on the final exam.

Course materials There will be study materials in the form of slides that cover the material in the course. These slides will not be used in the lectures, which will use a whiteboard format in Zoom. There will also be problem sets that you can use to practice using the tools in the course, along with solutions. The TAs will also go through the solutions in a help session. There will not be any textbook or packet.

Final Exam The final exam will have two parts: a written exam plus a short oral exam. Having the oral examination part will help to motivate study and reduce the temptation to cheat.

Feel free to contact me anytime. My Weixin (WeChat) id is PhilDybvig; that is probably the quickest way of reaching me. Or send me an E-mail at dybvig@wustl.edu or call or text at 314-398-3196.

About me I was previously a tenured full professor at Yale, and I came to Wash U in 1988 with a charge to build a top finance group, which we have done. Besides being a professor at Wash U, I am also the director of the Institute of Financial Studies at the Southwestern University of Finance and Economics in Chengdu, Sichuan, China. More information on me is in the chatty blurb at http://dybfin.wustl.edu/misc/about.html or in my vitae at http://dybfin.wustl.edu/misc/vitae.html. All of these pages can be accessed through my home page, http://dybfin.wustl.edu and I invite you to visit there.

Integrity and Professionalism Students are expected to conform to the Olin School's Honor Code and Code of Professionalism. I will report any violations to the Disciplinary Committee (with considerable sadness but a strong sense of duty).

Other resources See the Appendices below for Covid-19 policy and links to other university resources.

Pillars of excellence The school's branding emphasizes the following Pillars of Excellence. Olin students will:

This course connects with these pursuits by providing tools that make it all possible.

Summary I look forward to sharing with you some interesting and challenging ideas.

APPENDIX I: Covid-19 policy

Public health You are expected to follow WashU and Olin COVID-related public health protocols including:

For complete details visit: https://olincovidresponse.wustl.edu/health-safety-at-olin/

Course modality This course has remote and in-person sections: see WebSTAC for information on your section. Based on tentative enrollments and the size of the classrooms, of your section is an in-person section, there should be enough seats for everyone who wants to attend in-person. Only people enrolled in the section are welcome to attend in person.

Session length, and entry/exit protocols For spring 2021, passing times between classes are extended to 15 minutes. The class will finish 1 hour and 15 minutes after it starts.

Entry/exit protocols for in-person students

Student illness or quarantine:

Guidelines for attending online/hybrid class sessions

Rules of engagement

Distractions

Zoom disconnection

APPENDIX II: some additional resources

Reporting Sexual Harassment If a student discusses or discloses an instance of sexual assault, sex discrimination, sexual harassment, dating violence, domestic violence or stalking, or if a faculty member otherwise observes or becomes aware of such an allegation, the faculty member will keep the information as private as possible, but as a faculty member of Washington University, they are required to immediately report it to the Department Chair or Dean or directly to Ms. Jessica Kennedy, the University’s Title IX Director, at (314) 935-3118, jwkennedy@wustl.edu. Additionally, you can report incidents or complaints to the Office of Student Conduct and Community Standards or by contacting WUPD at (314) 935-5555 or your local law enforcement agency. See: Title IX Confidential Resources for Instances of Sexual Assault, Sex Discrimination, Sexual Harassment, Dating Violence, Domestic Violence, or Stalking: If a student needs to explore options for medical care, protections, or reporting, there are free, confidential support resources and professional counseling services are available through the Relationship and Sexual Violence Prevention (RSVP) Center in Seigle Hall, Suite 435, rsvpcenter@wustl.edu, 314-935-3445. For after-hours emergency response services, call 314-935-6666 or 314-935-5555 and ask to speak with an RSVP Counselor on call.

Academic Accommodations Reasonable Accommodations for Disabled Students - Washington University in St. Louis supports the rights of enrolled students to a full and equal educational opportunity and, in compliance with federal, state, and local requirements, is committed to reasonable accommodations for individuals with documented disabilities. Disabled students for whom accommodations may be necessary must be registered with, and provide their instructors official notification through, WUSTL’s Disability Resources (https://students.wustl.edu/disability- resources/). Once established, responsibility for disability-related accommodations and access is shared by DR, faculty, and the student. Please contact Disability Resources at 314.935.5970 or disabilityresources@wustl.edu.

Sexual Assault Resources The University is committed to offering reasonable academic accommodations (e.g., a no-contact order, course changes) to students who are victims of relationship or sexual violence, regardless of whether they seek criminal or disciplinary action. If you need to request such accommodations, please contact RSVP (information above) to schedule an appointment with an RSVP confidential and licensed counselor. Although information shared with counselors is confidential, requests for accommodations will be coordinated with the appropriate University administrators and faculty. See: RSVP Center

Bias Reporting

The University has a process through which students, faculty, staff, and community members who have experienced or witnessed incidents of bias, prejudice, or discrimination against a student can report their experiences to the University’s Bias Report and Support System (BRSS) team. See: brss.wustl.edu.

Mental Health

Mental Health Services’ professional staff members work with students to resolve personal and interpersonal difficulties, many of which can affect a student’s academic experience. These include conflicts with or worry about friends or family, concerns about eating or drinking patterns, and feelings of anxiety, depression, and thoughts of suicide. See: https://students.wustl.edu/mental- health-services/ Additionally, see the mental health services offered through the RSVP Center listed above.

WashU Cares WashU Cares, within the Health and Wellness Unit, provides resources to all students on the Danforth Campus who may be having a hard time. WashU Cares is committed to helping create a culture of caring. Through proactive, collaborative, and systemic approaches, WashU Cares works with students to identify interventions, resources, and supports that allow them to be successful. If there is a concern about the physical or mental well-being of a student, please file a report on the WashU Cares website. See: https://washucares.wustl.edu/.

Center for Diversity and Inclusion (CDI) The Center for Diversity and Inclusion (CDI) supports and advocates for undergraduate, graduate, and professional school students from underrepresented and/or marginalized populations, collaborates with campus and community partners, and promotes dialogue and social change to cultivate and foster a supportive campus climate for students of all backgrounds, cultures, and identities. See: https://diversityinclusion.wustl.edu/.

Preferred Name and Gender Inclusive Pronouns In order to affirm each person’s gender identity and lived experiences, it is important that we ask and check in with others about pronouns. This simple effort can make a profound difference in a person’s experience of safety, respect, and support. See: https://students.wustl.edu/gender-pronouns- information/, https://registrar.wustl.edu/student-records/ssn-name-changes/preferred-name/.

Military Service Leave Washington University recognizes that students serving in the U.S. Armed Forces and their family members may encounter situations where military service forces them to withdraw from a course of study, sometimes with little notice. Students may contact the Office of Military and Veteran Services at (314) 935-2609 or veterans@wustl.edu and their academic dean for guidance and assistance. See: https://veterans.wustl.edu/policies/policy-for-military-students/.