The University of Chicago
Department of Statistics
Course Announcement
Winter Quarter 2000
Statistics 391/Mathematical Finance 346
Stochastic Calculus and Finance II
Wednesday evenings, 6:00-9:00 PM
Eckhart Hall, Room 133
Per A. Mykland
Course Assistants: Seongjoo Song and Zhengyuan Zhu
This is the sequel to Stat 390/Math 345. We cover topics in
the theory of stochastic calculus and
the pricing and hedging of derivative securities, including
-
hedging strategies for exotic options
-
incompleteness: discontinuity, untraded processes, and statistical uncertainty
-
early excercise
-
interest rate models
The course is offered in collaboration by the Department of Statistics and the
master's program in Mathematical Finance.
Stat 390-391 are part of the
Statistics
and Finance program. Math Fin 345-346 are part of the
Master's
program in Financial Mathematics.
There will be weekly homework assignments, and midterm and final exams.
The course assistants will conduct weekly help sessions on Friday
afternoons.
Exams:
-
Midterm: Wednesday, February 9, 6:00--9:00 p.m. (Eckhart 133)
-
Final: Wednesday, March 15, 6:00--9:00 p.m. (Eckhart 133)
Prerequisites:
-
Stat 391: Stat 390 or consent of instructor (enforced)
-
Math 346: Math 345, and enrollment in (or permission from)
the Financial Mathematics Program
Texts
-
Required:
-
M. Baxter and A. Rennie (1996).Financial Calculus
-
Darrell Duffie (1996). Dynamic Asset Pricing Theory (2nd or later
edition). Princeton U. Press.
-
Musiela, M., and Rutkowski, M. (1997). Martingale methods in
financial modelling. Springer.
-
Recommended:
-
B. Oksendal Stochastic Differential Equations 5th Edition
-
J. C. Hull . Options, Futures, and Other Derivatives
Useful supporting material:
-
Patrick Billingsley (1995). Probability and Measure, Second Edition.
Wiley.
-
I. Karatzas and S.E. Shreve (1991). Brownian Motion and Stochastic Calculus.
Springer-Verlag.
-
H. L. Royden (1968). Real Analysis, Second Edition. Collier MacMillan.
January 2000