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Stochastic Finance 2021-21 Module 3 (Spring 2021)

Announcements

  • Class mailing list will bs created as [email protected] soon. But, the announcements will be made in DingTalk group chat.

Resources

Lectures

No Date Contents
01 9.03 Tue Course overview, Probability Statistics Review (Slides)
02 3.12 Fri Probability Statistics Review (Slides)
03 3.16 Tue SCFA Ch. 1, World Series Derivative
04 3.19 Fri SCFA Ch. 2
05 3.23 Tue SCFA Ch. 3
06 3.26 Fri SCFA Ch. 4 [HW1, Due Tuesday]
07 3.30 Tue Bachelier (Normal) Model (Slides)
08 4.02 Fri SCFA Ch. 5 (Knock-out option under Normal model), Ch. 6
09 4.06 Tue SCFA Ch. 6, Questions Review
10 4.09 Fri Midterm Exam
11 4.13 Tue Ch. 7-8
12 4.16 Fri Midterm exam review. Ch. 9
13 4.20 Tue Ch. 9
14 4.23 Fri Ch. 10 (Black-Scholes)
15 4.27 Tue Ch. 12 (Martingale representation theorem), Ch. 13 (Girsanov Theorem)
16 4.28 Wed Ch. 13 (Girsanov Theorem)
17 5.04 Tue Ch. 14 (Equivalent Martingale Measure)
18 5.07 Fri Ch. 14
Exam 5.15 Sat 11 AM - 1 PM. Final Exam

Homeworks:


Syllabus

Classes:

  • Lectures: Tuesday & Friday 10:30 – 12:20 AM
  • Venue: PHBS Building, Room 231

Instructor: Jaehyuk Choi

  • Office: PHBS Building, Room 755
  • Phone: 86-755-2603-0568
  • Email: [email protected]
  • Office Hour: Tuesday 9-10 PM / Friday 3:30-4:30 PM

Teaching Assistance: Wang Congyuan (王琮元)

  • Email: [email protected]
  • TA Office Hour: Monday 7-9 PM / Wednesday 1:30-3:20 PM (Room 213/214)

Textbooks and Reading Materials

Assessment / Grading Details

  • Attendance 20%, Assignments 20%, Mid-term Exam 30%, Final Exam 30%
  • Attendance: Randomly checked. The score is calculated as 20 – 2x(#of absence). Leave request should be made 24 hours before with supporting documents, except for emergency. Job interview/internship cannot be a valid reason for leave
  • Mid-term Exam: 4.09 Fri. In-class open-book without computer/phone/calculator
  • Final Exam: 5.15 Fri. In-class open-book without computer/phone/calculator
  • Grade in letters (e.g., A+, A-, ... ,D+, D, F). A- or above < 30% and B- or below > 10%.
  • The level of background knowledge may vary among students, but it will be ignored in grading. Grading will be strictly based on outcome, not on effort or progress.

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