MSG800/MVE170 Basic Stochastic Processes Course Mail 7

Sent: Sunday, November 27, 2011 5:48 PM

Hello!

*) I have updated the course web-page with

1) a somewhat refreshed/corrected course program (mentioning the extra lecture next 
Thursday 1 December 3.15 pm and that Sections 6.6-6.7 are not included in the course),

2) an updated Errata list with a few more (not terribly important) erratas,

3) a Mathematica solution to the Computational Problem on Exercise Sheet Number 4.

*) As I know that several of you are I-students with a focus on mathematical finance I 
take the opportunity to mention that there is a master's thesis presentation (quite ped-
agogical I am sure) on Thursday 1 December at 1.15 PM in Room MV:L14 by Elisabet Gu-
levska and Tomas Westman titled "Pricing Bivariate Rainbow Options Using a Copula-
Based Approach", should you be interested in seeing what a couple of good math stud-
ents can do in this area at the masters level.

Best regards, Patrik Albin