Course information for Stat 390/FinMath 345, Autumn 2008
Exam scheduling: Midterm on Nov 3 (Monday of week 6), in Kent 107. Final on December 8 (Monday of Final's Week), in KPTC 106. KPTC (Kersten) is located on the southwest corner of Ellis and 57th. Rooms in Singapore and Stamford, CT, are by arrangement with Karen Teo and Alexander Giryavets.
Instructor: Per Mykland
CAs (Chicago): Xiaohui Chang, Meiqing Lu, Dan Wang, Ting Zhang
CA (Singapore): Janice Quek
CA (Stamford, CT): Alexander Giryavets
CA office hour (Chicago): Tuesday 4-5 pm in
107 Kent
CA review session (Chicago): Friday 4-5 pm in 117 Eckhart
Per office hour: Monday 5:30-6:30 in 128 Eckhart (normally)
Textbooks: Stochastic Calculus for Finance I-II, by Steven E. Shreve
(required).
The basics of S-PLUS, 3rd edition, by A. Krause and M. Olson
(recommended)
A Course in Financial Calculus, by Alison Etheridge (recommended)
Lectures and homework:
- Lecture 1 (Ch 1.1 in Shreve, and a few added items)
- Lecture 2 (Ch 1.2, 2.3-2.4 in Shreve, with a description which does not depend on the binomial model; we assume you know Ch. 2.1-2.2 in Shreve)
- HW 1, due Oct 6
- Lecture 3 (Ch 2.5, and 3 in Shreve, with the same caveats about not always using the bimonial model)
- HW 2, due Oct 13
- Lecture 4, Lecture 4A
- HW 3, due Oct 20
- Project R (for download of R)
- Project R's manual (whole directory is useful)
- Lecture 5 (American options, stopping times) (Shreve I, Ch. 4)
- HW 4, due Oct 27
- Lecture 6
- Paper by Longstaff and Schwartz (2001)
- Lecture 7
- HW 5, due Nov 17
- Lecture 8 (stochastic integrals, Ito's formula, Black-Scholes formula, some risk neutral pricing, martingale representation, Shreve II, Ch 4.1-4.6, 5.2.2-5.2.5, 5.3, some added items)
- HW 6, due Nov 24
- Lecture 9
- HW 7 due on Monday December 1: Shreve II Chapter 5, Problems 5.10, 5.12, 5.14
- Lecture 10
- Lecture 11
- paper by Martin Schweizer
