Course information for Stat 391/FinMath 346, Winter 2007

This year's Winter course is more like the old Stat 390/FinMath 345, and is only labeled Stat 391/FinMath 346 for technical reasons on the part of the registrar

Note: There will be two classes in the first week (Wed 1/3 and Fri 1/5). There will be no class in the second week.

Tentative scheduling: Midterm on Feb 7 (Wed of week 6). Also no class on Feb 14, but instead class on Feb 9 (Friday of Week 6). Final on March 14 (Wed of Final's Week), in Kent 107.

Instructor: Per Mykland
CAs: Oli Atlason, Christina Wang, Xinghua Zheng

CA office hour: Tuesday 5:30-6:30 pm in 117 Eckhart
CA review session: Friday 4-5 pm in 202 Eckhart
Per office hour: time TBA in 128 Eckhart

Textbooks: Stochastic Calculus for Finance I-II, by Steven E. Shreve (required).

Lectures and homework:

• First week (Wednesday 1/3 and Friday 1/5):
  • 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)
  • Lecture 3 (Ch 2.5, and 3 in Shreve, with the same caveats about not always using the bimonial model)
  • HW 1, due Jan 17
• Third week (Wednesday 1/17):
  • Lecture 4, Lecture 4A
  • We also start: Lecture 5 (American options, stopping times) (Shreve I, Ch. 4)
  • HW 4 (that is, for lecture 4)
• Fourth week (Wednesday 1/24):
  • We continue Lecture 5 (on American options, etc)
  • HW 5 (that is, for lecture 5)
• Fifth week (Wednesday 1/31):
  • Paper by Longstaff and Schwartz (2001)
  • Lecture 6 (convergence to normality)
  • Per office hour on Fri 2/2: 1:30-2:30 pm
• Sixth week (Wednesday 2/7 and Friday 2/9):
  • Location of midterm (on 2/7): Kent 107. You are allowed a one sided page of hand-written non photocopied notes as a cheat sheet
  • Lecture 7
• Seventh week (HW only)
  • HW 7 (that is, for lecture 7)
• Eighth week
  • 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 8
• Ninth week
  • Lecture 9
  • Lecture 10
  • HW due on Wed March 7: Shreve II Chapter 5, Problems 5.10, 5.12, 5.14
• Tenth week
  • Lecture 11
  • paper by Martin Schweizer (for Lecture 12)
  • Lecture 12: part 1, part 2
• Eleventh week:
  • Location of final (on 3/14): Kent 107. You are allowed a two sided page of hand-written non photocopied notes as a cheat sheet