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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

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:

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)

Textbooks and Reading Materials

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.