The final grade will count 15% Homework, 35% Midterm and 50% Final exam.
Midterm will be on Wednesday 13. February 6pm-8pm. Students are
allowed to bring one standard page of handwritten
information, double paged. Problems will be based on Chapters 1-3 in the
Lecture notes, with the exception of Chapters 1.13 and 1.14.
The midterm will take place at Room 001 (LL) at the BSLC Building
(Biological Sciences). The address is 924 East 57th Street.
For those students that cannot make it to the midterm the final exam will
count 85%.
The final exam will be on Wednesday 19. March 6pm-9pm in room Kent107.
Students are
allowed to bring two pages of handwritten information, double paged.
Notes are prepared every week and can be downloaded from this site. Useful
additional literature can be
Steven E. Shreve, Stochastic Calculus for Finance II. Springer
Tomas Bjork, Arbitrage Theory in Continuous Time, second ed. Oxford
University Press
A more advanced and comprehensive book is:
Marek Musiela and Marek Rutkowski, Martingale Methods in Financial Modelling,
second ed. Springer
For those who want some serious probability and stochastic process background
Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus,
second ed. Springer
A somewhat lighter and very popular book is
Bernt Oksendal, Stochastic Differential Equations : An Introduction
with Applications.
Springer
For a mixture of theory and practice in interest rate theory.
Damiano Brigo and Fabio Mercurio:
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
Springer Finance, 2.edition