No 1. |
September 12 ps-file, pdf-file. Solutions ps-file, pdf-file.
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No 2. |
September 19 ps-file, pdf-file.
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No 3. |
September 26 ps-file, pdf-file. Solutions ps-file, pdf-file.
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No 4. |
October 3 ps-file, pdf-file. Solutions ps-file, pdf-file.
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No 5. |
October 10. Exercises 4.1,7,9,18 and 5.1,3 in Klebaner.
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No 6. |
October 17 ps-file, pdf-file. We look at examples of an SDE with stationary distribution (Ornstein-Uhlenbeck) and one without (Black-Scholes). The Matlab simulations can be found here: Ornstein-Uhlenbeck, pictures 1, 2, 3. Black-Scholes, pictures 1, 2.
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