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
- 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