Welcome to the course! The schedule for the course can be found in TimeEdit.
01-17: Lecture notes, program and info on the assignments added01-28: New deadline for submitting the written exercises:
Course coordinator: Simone Calogero (email@example.com). Office L2091
Simone Calogero: Stochastic Calculus, Financial Derivatives and PDE's
| Onsdag 01-23
|| Section 2.4||Euler|
| Torsdag 01-24
|| Chapter 3||Euler|
| Fredag 01-25
|Måndag 01-28||13:15-15:00||Chapter 4||MVF21|
|Onsdag 01-30||10:00-11:45||Chapter 5||Euler|
|Torsdag 01-31||15:15-17:00||Chapter 5||Euler|
|Fredag 02-01||13:15-15:00||Chapter 5||MVF21|
|Måndag 02-04||13:15-15:00||Sec. 4.6, 6.1-6.2||MVF21|
|Onsdag 02-06||8:15-10:00||Sec. 6.3||Euler|
|Torsdag 02-07||15:15-17:00||Sec. 6.4||Euler|
|Fredag 02-08||13:15-15:00||Exercises 6.6, 6.7, 6.8, 6.14||MVF21|
|Måndag 02-11||13:15-15:00||Sec. 6.5||MVF21|
|Onsdag 02-13||10:00-11:45||Sec. 6.6||Euler|
|Torsdag 02-14||15:15-17:00||Sec. 6.6||Euler|
|Fredag 02-15||13:15-15:00||Exercises 6.22, 6.23, 6.28, 6.29||MVF21|
|Måndag 02-18||13:15-15:00||Project assistance||My office|
|Onsdag 02-20||10:00-11:45||Project assistance||My office|
|Torsdag 02-21||15:15-17:00||Project assistance||My office|
|Fredag 02-22||13:15-15:00||Project assistance||My office|
|Måndag 02-25||13:15-15:00||Sec. 6.7||MVF21|
|Onsdag 02-27||10:00-11:45||Sec. 6.7||Euler|
|Torsdag 02-28||15:15-17:00||Sec. 6.8||Euler|
|Fredag 03-01||13:15-15:00||Sec. 6.8||MVF21|
|Måndag 03-04||13:15-15:00||Section 6.9||MVF21|
|Onsdag 03-06||10:00-11:45||Section 6.9||Euler|
Learning MATLAB, Tobin A. Driscoll ISBN: 978-0-898716-83-2 (The book is published by SIAM).
The learning goals of the course can be found in the course plan.
The are two types of assignments:
There are 10 exercises in the lecture notes which are marked with the
symbol (☆). The assignment consists in finding these
exercises and solve them.
Bonus points: Max. 2 points. Deadline for submission: February 1st
- Matlab project: One of the three projects at the end of Chapter 6, namely The Asian Option (app. 6.A), the CEV model (app. 6.B) or the CKLS model (app. 6.C).Bonus points: Max. 2 points. Deadline for submission: March 6th
The exam is on March 19th, 2019, h.8.30
The test comprises 15 points and to pass at least 6 points are required
- at GU a result greater than or equal to 11 points is graded VG;
- at Chalmers a result greater than or equal to 9 points and smaller than 12 points is graded 4 and a result greater than or equal to 12 points is graded 5.
The assigments give max. 4 points
The test is divided in three parts, each one giving a maximum of 5 points.
One part will be of theoretical nature and will require to prove one or more of the following theorems (max. 4 points) :
Theorem 3.2, Theorem 3.15, Theorem 6.1, Theorem 6.2, Theorem 6.3, Theorem 6.5, Theorem 6.6, Theorem 6.9, Theorem 6.11, Theorem 6.13, Theorem 6.14, Theorem 6.15, Theorem 6.17, Theorem 6.18, Theorem 6.19, Theorem 6.24, Theorem 6.26, Theorem 6.27
In Chalmers Student Portal you can read about when exams are given and what rules apply on exams at Chalmers. In addition to that, there is a schedule when exams are given for courses at University of Gothenburg.
Before the exam, it is important that you sign up for the
examination. If you study at Chalmers, you can do this from the
Chalmers Student Portal, and if you study at University of
Gothenburg, you sign up via GU's
At the exam, you should be able to show valid identification.
After the exam has been graded, you can see your results in Ladok by logging on to your Student portal.
At the annual (regular) examination:
When it is practical, a separate review is arranged. The date of the review will be announced here on the course homepage. Anyone who can not participate in the review may thereafter retrieve and review their exam at the Mathematical Sciences Student office. Check that you have the right grades and score. Any complaints about the marking must be submitted in writing at the office, where there is a form to fill out.
Exams are reviewed and retrieved at the Mathematical Sciences Student office. Check that you have the right grades and score. Any complaints about the marking must be submitted in writing at the office, where there is a form to fill out.
March 2017 (pdf), June 2017 (pdf), August 2017 (pdf)