Welcome to the course.

15-03: The program of the course and the lecture notes have been added

16-03 IMP:
The lectures on the first week of the course will be held in the room
K2 in the chemistry building, and NOT in Pascal. More information will
follow concerning the remaining lectures

16-03: Info about the exam added

05-04 IMP: From next week the lectures will take place in Pascal on Monday, Wednesday and Thursday, and in MVF31 on Friday

05-04: Matlab project added (see here)

07-04:
The barrier and compound options in the matlab project are intended to
be on European style options! This previously missing information has
been added to the project

11-04: More information on the Matlab project added (see here).

18-04:
Solutions of the exercises for week 1 have been added (including some
hints on how to solve the other recommended exercises)

20-04: IMP: I
will be in the office every thursday from 10 am to 1 pm to answer your
questions and revise your solutions of the recommended exercises.

21-04: Hints for the recommended exercises on week 3 added

22-04: Solutions to Exercises week 3 added

26-04: More information on the Matlab project added (point (5))

27-04:
As we have just started today the discussion on probability theory, I
will post next week the hints to the exercises of week 4

27-04:
After the discussion with the course representatives I decided to
remove the topic "Markowitz portfolio" from the program, so that we can
spend more time on probability theory.

28-04: I posted a list of errata in Ref. [1], see literature. If you find more, please let me know and I will update the list.

02-05: Hints and solutions for week 4 exercises added

04-05:
List of errata updated. The example at the end of Section 5.2.1 is
formulated incorrectly... the correct formulation is given in the list
of errata below

09-05: The bonus points of the Matlab project count until the re-exam in April 2017 included!

13-05: IMP: I will give an extra lecture on Tuesday 24 May, 13.15-15.00. In this lecture we shall do some more exercises together, taken from old exams.

13-05: IMP: I
noticed that many students have decided to work together on the first
task of the project (barrier option). Remember however that groups
of more than 1 student must carry out the first n tasks of the project,
where n is the number of students in the group. Hence a group of 2
students should work on barrier options AND compound options, while a
group of 3 students should work on barrier, compound AND bermuda
options. If the same project on just barrier options is presented by
more than one student, the bonus point will be divided by all students
that present the project.

16-05: Info on the guest lectures added.

18-05: Errata list updated. IMP: Tomorrow I will upload a new version of the note with the errata corrected

18-05:
As I did not have time to review the proof if Theorem 6.5 in the class,
then this theorem has been removed from the exam list

20-05: I posted a new version of the lecture notes in which the typos of the previous one have been corrected

20-05: Solutions to exercises week 7 added.

20-05: IMP: in the list of "further exercises" I underlined those which are most relevant for the exam

24-05: IMP: The lecture today will be at Euler

03-06: The solution of yesterday exam can be found here

23-08: The solution of the exam on August 17 can be found here