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TMS165/MSA350 Stochastic Calculus Part I, 2009, Hand-ins and Exercises

Magnus Röding is responsible for the hand-ins and exercises.


Here are the hand-ins: ps-file, pdf-file.

The hand-ins are due on fridays according to the following schedule:

No 1. Due September 25.
No 2. Due October 2.
No 3. Due October 9.
No 4. Due October 16. Simulation to problem 2 may look like this.
No 5. Due October 23.
No 6. Due October 30.

Deadline: All hand-ins must be handed in by October 30! Students who fail to do so, we cannot promise when their grades will be available for registration in the Ladok-system.

Electronically submitted hand-ins (by email to Magnus) are recomended. Non-electronical submissions must be in duplicate.

Students are recomended to work with the hand-ins in pairs. The hand-ins may be handed in during classes or to Magnus in room MVL:3068 (there are boxes for hand-ins outside Magnus door, should he not be in). Solutions should be well motivated, clear and easy to read. Especially should simulations be explained carefully. The grades for the course will be based on the quality of the hand-ins.

Grading: To pass the course 50% of the total score on the hand-ins must be achived. More precisely the grades on the course will be as follows: For Chalmers students a 50% score for grade 3, 66% for 4 and 83% for 5, while for GU students a 50% score is required for grade G and 75% for VG.

Exercise sessions

For students not able to join exercise sections, short solutions are avalible for some of the problems.
No 1. September 10 ps-file, pdf-file. Solutions ps-file, pdf-file.
No 2. September 17 ps-file, pdf-file.
No 3. September 24 ps-file, pdf-file. Solutions ps-file, pdf-file.
No 4. October 1 ps-file, pdf-file. Solutions ps-file, pdf-file.
No 5. October 8. Exercises 4.1,7,9,18 and 5.1,3 in Klebaner.
No 6. October 15 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.

Welcome to contact Magnus for more information about the hand-ins and exercises.
Telephone: 031 / 772 3556
Fax: 031 / 772 3508
Room: L3068
Adress: Matematisk Statistik, CTH & GU, 412 96 Göteborg, Sweden