Course information for Stat 391/FinMath 346

• Transparencies will normally be posted before the lecture. Please be advised that small misprints are possible.
  • Lecture 1 (Ch 5.1-5.4, 7.1-7.3 in Shreve II, and some added items)
  • HW 1, due January 12
  • Lecture 2, part a
  • Lecture 2, part b
  • HW 2, due January 19 (new problem 2b)
  • Lecture 3
  • paper by Martin Schweizer (for Lecture 3)
  • HW 3, due January 26
  • Paper by Longstaff and Schwartz (2001) for lecture 4.
  • No HW due February 2 or 9
  • Lecture 5: part 1, part 2
  • HW due February 16: problems 1(d), 2(b)-(d), and 3(a) on the midterm (note that the statement of problem 2 has been modified
  • Lecture 6 (Ch 8 in Shreve II)
  • HW, due Februrary 23 [Note: slightly modified version of problem 3 (reload before printing)]
  • Lecture 7 , Additional example for lecture 7, Follow this link for underlying 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.
  • HW, due Wed March 2 In problem 2, take B=98
  • Lecture 8 (some corrections)
  • HW, due Wed March 2 [equation (1) added, please reload]
  • Lecture 9, also plot 1 and plot 2
• The Financial Mathematics' course page
• TA's:
  • Oli Atlason
  • Haky Im
  • Jie Yang
• TA office hours: Mondays 3-4pm in Eckhart 131
• Review session: Fridays 4-5pm in Eckhart 203 (not in week 1)
• Per Mykland's office hour will vary, mostly between Tue and Thu in each week, in Eckhart 128. Week 2: Tue (1/11) 2 pm. Week 3: Tue (1/18) 2 pm. Week 4: Tue (1/25) 2 pm. Week 5: Tue (2/1) 2 pm. Week 6: Tue (2/8) 2 pm. Week 7: Tue (2/15) 2 pm. Week 8: Tue (2/22) 2 pm. Week 9: Tue (3/1) 2 pm.
• Midterm: Wed Feb 2, Final: Wed March 16 (6-9 pm)
• Extended office hours before the midterm: Jie Monday 1/31 3-5 pm (Eck 131), Per Tue 2/1 2-3 pm (Eck 128), Oli Wed 2/2 2-3 pm (Eck 131)
• Extended office hours before the final: Oli Monday 3/14 4-6 pm (Eck 131), Per Mon 3/14, 3-4 pm (Eck 128), Haky Wed 3/16 2-3 pm (Eck 131)
• for the midterm: you can bring a cheat sheet, + a clean copy of the Schweizer paper
• 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. 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.