Place: Seminar room S4 in the mathematics center.
There will be two homeassignments, which can add up to 1.5 bounuspoints 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 homeassignment 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 4.24.3. 
15/11, 13.15 
ItoDoeblin's Formula, Section 4.4. 
17/11 
A few problems from chapter 3 and 4. 
17/11 
The BlackScholesMerton's Formula. 
19/11 
Continuation of The BlackScholesMerton's Formula. Read multidimensional version yourself. 
22/11 
The RiskNeutral Measure, Chapter 5. Girsanov's Theorem. Deadline for homeassignment no. 1. Delivery of homeassignment 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 
DividendPaying 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 FeynmanKac Formula, Chapter 6. 
3/12 
Exotic Options, Chapter 7. 
6/12 
Continuation of Chapter 7, i.e. Asian Options. Deadline for homeassignment 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, Vhouse, 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!), 8.3012.30, Vhouse 
Written reexamination I. 
26 augusti, 8.3012.30, Vhouse 
Written reexamination II. 
This plan is just preliminary and will be upgraded during the course.
Wilmott 
Steven Shreve's
homepage 
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 