Stochastic Finance 2019-20 Module 3 (Spring 2020)

Announcements

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

Resources

• Course Note: Supplementary to textbook (SCFA).
• Exercise Problems, HW: SCFA Exercices | 2016 | 2017 | 2018
• Midterm Exams in Past Years: 2016 ASP | 2016 | 2017 | 2018 | 2019
• Final Exams in Past Years: 2016 | 2017 | 2018 | 2019

Lectures:

• 01 (2.18 Tue): Course overview, Probability Statistics Review (Slides)
• 02 (2.21 Fri): Probability Statistics Review (Slides)
• 03 (2.25 Tue): SCFA Ch. 1, World Series Derivative
• 04 (2.28 Fri): SCFA Ch. 2
• 05 (3.03 Tue): [HW1 Due], SCFA Ch. 3
• 06 (3.06 Fri): SCFA Ch. 4
• 07 (3.10 Tue): Normal Model (Slides)
• 08 (3.13 Fri): SCFA Ch. 5 (Knock-out option under Normal model), Ch. 6
• 09 (3.17 Tue): SCFA Ch. 6, Ch. 7
• 10 (3.20 Fri): Midterm Exam (Solution)
• 11 (3.24 Tue): Ch. 8
• 12 (3.27 Fri): Midterm exam review. Ch. 9
• 13 (3.31 Tue): Ch. 9
• 14 (4.03 Fri): Ch. 10 (Black-Scholes)
• 15 (4.07 Tue): Ch. 12 (Martingale representation theorem), Ch. 13 (Girsanov Theorem)
• 16 (4.10 Fri): Ch. 13 (Girsanov Theorem)
• 17 (4.14 Tue): Ch. 14 (Equivalent Martingale Measure)
• 18 (4.17 Fri): Final Exam (Solution)

Homeworks:

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Syllabus

Classes:

• Lectures: Tuesday & Friday 10:30 – 12:20 AM
• Venue: Online/DingTalk PHBS Building, Room 229

Instructor: Jaehyuk Choi

• Office: PHBS Building, Room 755
• Phone: 86-755-2603-0568
• Email: [email protected]
• Office Hour: Online/DingTalk Thursday 3:30-5:30 PM

Teaching Assistance: GONG Li (龚莉)

• Email: [email protected]
• TA Office Hour: Online/DingTalk (Room 213/214)

Textbooks and Reading Materials

• SCFA: Stochastic Calculus and Financial Applications by J. Michael Steele

Assessment / Grading Details

• Attendance 20%, Assignments 20%, Mid-term Exam 30%, Final Exam 30%
• Attendance: TBA 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: 3.20 Fri. Take-home exam. In-class open-book without computer/phone/calculator
• Final Exam: 4.17 Fri. Take-home exam. 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.