Place: Seminar room S1 (Wednesdays), and 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 
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 homeassignment 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 4.24.3. 
14/11, 13.15 
ItoDoeblin's Formula, Section 4.4. 
16/11, 10.00 
A few problems from chapter 3 and 4. 
16/11, 13.15 
The BlackScholesMerton's Formula. 
18/11, 13.15 
OBS! No lecture. Study eagerly for your self! 
21/11 
Continuation of The BlackScholesMerton's Formula. Read multidimensional version yourself. 
23/11 
3.1, 4.4, 4.9, 4.18 (i). 
23/11 
The RiskNeutral 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 
DividendPaying Stocks, Sec. 5.5. Forwards and Futures, Sec. 5.6 
5/12 
Connections between SDE:s and PDE:s, i.e. the FeynmanKac Formula, Chapter 6. 
7/12 
Deadline for homeassignment no. 2.

7/12 
Continuation of Exotic Options, Chapter 7. 
9/12 
American Options, Chapter 8. 
15/12 G4, 9.0010.00 
Extra
officehour 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, Vbuilding, 8.3012.30 
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 8.3013.00. 
September 1, 
Written
reexamination. Note, that there will be only one reexamination this year. This is due to the fact that there have been "too few" student doing the reexamination 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, coursepage. You'll need a username and a password.