Place: Seminar room S4 in the mathematics center.
There will be two home-assignments, which can add up to 1.5 bounus-points each to your final exam. |
Date, time |
Plan |
25/10, 13.15 |
Introduction of the course, General Probability Theory Chapter 1 in Shreve. |
27/10,
8.00 |
Continuation of
Chapter 1. |
27/10, 10.00 |
- " - |
29/10,13.15 |
Information and Conditioning, Chapter 2. |
3/11, 8.00 |
Lesson 1, some exercises from Chapter 1. |
3/11, 10.00 |
Continuation with some exercises and the end of Chapter 2. |
5/11, 13.15 |
Introduction to Brownian Motion, Chapter 3. Definition of BM and its Martingale property. |
8/11, 13.15 |
Quadratic Variation. Delivery of home-assignment no. 1. <- Uppdated! |
10/11, 8.00 |
2.1, 2.3, 2.6, 2.11, 3.1, 3.2. |
10/11, 10.00 |
Realized volatility of the geometric Brownian motion. First passage time. Reflection principle. Introduction to Ito's Integral, Chapter 4.1 |
12/11, 13.15 |
Ito's formula, Section 4.2-4.3. |
15/11, 13.15 |
Ito-Doeblin's Formula, Section 4.4. |
17/11 |
A few problems from chapter 3 and 4. |
17/11 |
The Black-Scholes-Merton's Formula. |
19/11 |
Continuation of The Black-Scholes-Merton's Formula. Read multidimensional version yourself. |
22/11 |
The Risk-Neutral Measure, Chapter 5. Girsanov's Theorem. Dead-line for home-assignment no. 1. Delivery of home-assignment no. 2. |
24/11 |
3.1, 4.4, 4.9, 4.18 (i). |
24/11 |
The Martingale Representation Theorem, Sec. 5.3. Girsanov's Thm, Sec. 5.4. |
26/11 |
Dividend-Paying Stocks, Sec. 5.5. |
29/11 |
Forwards and Futures, Sec. 5.6 |
1/12 |
4.18 (ii) and (iii), 4.20, ... |
1/12, |
Connections between SDE:s and PDE:s, i.e. the Feynman-Kac Formula, Chapter 6. |
3/12 |
Exotic Options, Chapter 7. |
6/12 |
Continuation of Chapter 7, i.e. Asian Options. Dead-line for home-assignment no. 2. |
6/12, 15.15 MD7 |
Extra lecture given by Patrik
Albin as
a preparation to Shirayev's talk on Wednesday. |
8/12 |
|
8/12 "Hörsalen" (basement) |
Albert Shiryaev, Moscow, Title: |
10/12 |
American Options, Chapter 8. |
16/12, V-house, 14.00 - 18.00 |
Written final
exam. As on previous exams: Note that no calculators are allowed, but on the other hand you may bring a copy of the book Beta, i.e. Mathematics Handbook for Science and Engineering, Råde and Westergren. |
1/4 (no joke!), 8.30-12.30, V-house |
Written re-examination I. |
26 augusti, 8.30-12.30, V-house |
Written re-examination II. |
This plan is just preliminary and will be upgraded during the course.
Wilmott |
Steven Shreve's
home-page |
Olle
Häggström and Torgny Lindvall's lecture notes
from the course Sannolikhetens
Grunder. |
Some
advice Jones, Mardon och Cook to someone who wants to become a
"quant". See also www.michaelpage.co.uk |