Place: Seminar room S1 (Wednesdays), and 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 |
| 24/10, 13.15 S4 |
Introduction of the course, General Probability Theory Chapter 1 in Shreve. |
| 26/10,
10.00, S1 |
Continuation of
Chapter 1. |
| 26/10, 13.15, S1 |
- " - |
| 28/10,13.15, S4 |
Information and Conditioning, Chapter 2 . |
| 31/11, 10.00
<-Obs the time! |
Continuation with some exercises, 1.1, 1.2, and the end of Chapter 2. |
| 2/11,
10.00 |
Lesson 1, some exercises from Chapter 1. 1.3, 1.4, 1.5, 1.7, 1.12. |
| 2/11, 13.15 |
Introduction to Brownian Motion, Chapter 3. Definition of BM and its Martingale property. |
| 7/11, 13.15 |
Quadratic Variation. Delivery of home-assignment no. 1. |
| 9/11, 10.00 |
Exercises 2.1, 2.3, 2.6, 2.11,
3.1, 3.2. |
| 9/11, 13.15 |
Realized volatility of the geometric Brownian motion. First passage time. Reflection principle. Introduction to Ito's Integral, Chapter 4.1 |
| 11/11, 13.15 |
Ito's formula, Section 4.2-4.3. |
| 14/11, 13.15 |
Ito-Doeblin's Formula, Section 4.4. |
| 16/11, 10.00 |
A few problems from chapter 3 and 4. |
| 16/11, 13.15 |
The Black-Scholes-Merton's Formula. |
| 18/11, 13.15 |
OBS! No lecture. Study eagerly for your self! |
| 21/11 |
Continuation of The Black-Scholes-Merton's Formula. Read multidimensional version yourself. |
| 23/11 |
3.1, 4.4, 4.9, 4.18 (i). |
| 23/11 |
The Risk-Neutral Measure, Chapter 5. Girsanov's Theorem. |
| 25/11 |
The Martingale Representation Theorem, Sec. 5.3. Girsanov's Thm, |
| 28/11 |
The Martingale Representation Theorem, Sec. 5.3. Girsanov's Thm, |
| 30/11 |
5.2, 5.5, 5.10, some remarks on the first home assignment. |
| 30/11, |
End of section 5.2. |
| 2/12 |
Dividend-Paying Stocks, Sec. 5.5. Forwards and Futures, Sec. 5.6 |
| 5/12 |
Connections between SDE:s and PDE:s, i.e. the Feynman-Kac Formula, Chapter 6. |
| 7/12 |
Dead-line for home-assignment no. 2.
|
| 7/12 |
Continuation of Exotic Options, Chapter 7. |
| 9/12 |
American Options, Chapter 8. |
| 15/12 G4, 9.00-10.00 |
Extra
office-hour for last minute questions, as I promised. Since I do not have an office then, we meet at G4, also known as 2247. |
| 16/12, V-building, 8.30-12.30 |
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. Short solutions. New: The exam is now graded. 031 772 3500 for information 8.30-13.00. |
| September 1, |
Written
re-examination. Note, that there will be only one re-examination this year. This is due to the fact that there have been "too few" student doing the re-examination over the last years. (Short solutions.) |
This plan is just preliminary and will be upgraded during the course.
Here is the link to our own, private, course-page. You'll need a user-name and a password.