Course information for Stat 391/FinMath 346

• Recommended textbooks are as for Fin Math 345/Stat 390. Consult this page for all info from Autumn Quarter.
• Transparencies will normally be posted before the lecture:
  • Lecture 1 (most misprints fixed),
  • Lecture 2 ,
  • Lecture 3 , paper by Schweizer (for Lecture 3)
  • Lecture 4,
  • Lecture 5: Follow this link for paper by Foellmer and Leukert (go to "Browse publications", then Finance and Stochastics, vol 3, number 3, p. 251-273), Addendum to Lecture 5. The later paper by Foellmer and Leukert, ``Efficient hedging: cost vs. shortfall risk'', is in Finance and Stochastics, vol 4, number 2, p. 117-146). Apologies for the compexity of the link -- Springer does not appear to allow a direct linkup.
  • Lecture 6 .
  • Paper by Myneni (1992) for Lecture 7.
  • Lecture 8 (some inaccuracies corrected in class).
  • Paper by Longstaff and Schwartz (2001) for lecture 9.
• To reach Financial Mathematics' course page, go here
• Jessie's and Seo Yeon's office hours: Mon 5-6 pm, in Eckhart 117
• Per's office hour: Tue orThu 2 pm, in Eckhart 128. Week 1: Thu, Week 2: none, Week 3: Tue, Week 4: Tue, Week 5: Tue, Week 6: Tue, Week 7 and later: Tue
• Review session: Fri 4-5 pm
• Midterm: Wed, Feb 4, Final: March 12, 6-9 pm, Eckhart 133.
• Class is each Wednesday 6-9 pm.
• The following rules apply to HW: you are welcome and encouraged to cooperate, or to work in a group. However: HW has to be turned in separately for each person, and an effort should be made to make HWs for people in the same group as different as possible. One way to do this is to discuss the problems, but not compose a joint solution. Simulation exercises may be turned in by group. All members of a group need to declare their group on each HW. Collaboration with undeclared other students may constitute a breach of academic rules, and is a serious matter.
• HW's:
  • HW 1 due 1/14 (corrected) (You may turn it in during review session on Friday 1/16)
  • HW 2 due Wed 1/21 (postponed to 1/23)
  • HW 3 due 1/28
  • HW 5 due 2/20 at the start of the review session
  • HW 6 due 2/27 at the start of the review session
  • HW 7 due 3/5 at the start of the review session
  • HW 8 due 3/10 at the start of class

  Syllabus for the final. All lectures, HWs, and handouts in both Stat 390/Fin Math 345 and Stat 391/Fin Math 346. Textbook references as for Stat 390/Fin Math 345. Lecture 9 in Stat 391 will not be included. The paper by Myneni (1992) only up to the end of Section 3, and you to not need to understand the proof that [B] = 0 (under the proof of Thm 3.2). The final takes place on March, 12, 6-9 pm, in Eckhart 133

  For fun: Bookies In Exile from the New York Times, via Costa Rica. (Thanks, Dale!)