- The WeChat group will be created by TA. (No 1-to-1 chat please.)
- Class mailing list will be created as [email protected] soon.
- Course Note: Supplementary to textbook (
SCFA). - Problems and Solutions (SCFA/HW/Midterm/Final)
| No | Date | Contents |
|---|---|---|
| 01 | 2.19 Mon | Course overview, Probability Statistics Review (Slides) |
| 02 | 2.22 Thur | Probability Statistics Review (Slides) |
| 03 | 2.26 Mon | SCFA Ch. 1, World Series Derivative |
| 04 | 2.29 Thur | SCFA Ch. 2 |
| 05 | 3.04 Mon | SCFA Ch. 3 |
| 06 | 3.07 Thur | SCFA Ch. 4 |
| 07 | 3.11 Mon | Bachelier (Normal) Model (Slides) |
| 08 | 3.14 Thur | SCFA Ch. 6, Questions Review (optional) |
| 09 | 3.18 Mon | Midterm Exam |
| 10 | 3.20 Wed | SCFA Ch. 5 (Knock-out option under Bachelier model), Ch. 6 |
| 11 | 3.21 Thur | Ch. 7-8 |
| 12 | 3.25 Mon | Midterm exam review. Ch. 9 |
| 13 | 3.28 Thur | Ch. 9 |
| 14 | 4.01 Mon | Ch. 10 (Black-Scholes) |
| 15 | 4.08 Mon | Ch. 12 (Martingale representation theorem), Ch. 13 (Girsanov Theorem) |
| 16 | 4.11 Thur | Ch. 13 (Girsanov Theorem) |
| 17 | 4.15 Mon | Ch. 14 (Equivalent Martingale Measure) |
| 18 | 4.18 Thur | Ch. 14 |
| Exam | 4.21 Sun | Final Exam 11 AM - 1 PM |
- Lectures: Monday & Thursday 10:30 AM – 12:20 PM
- Venue: PHBS Building, Room 313
Instructor: Jaehyuk Choi
- Office: PHBS Building, Room 755
- Phone: 86-755-2603-0568
- Email: [email protected]
- Office Hour: Monday 7 - 9 PM (Tentative)
- Email: [email protected]
- TA Office Hour: ** TBA ** (Room 213/214)
- SCFA: Stochastic Calculus and Financial Applications by J. Michael Steele
- Attendance 20%, Assignments 15%, Mid-term Exam 30%, Final Exam 35%
- Attendance: Randomly checked. The score is calculated as
20 – 2x(#of absence). Leave requests should be made 24 hours before with supporting documents, except for emergencies. Job interview/internship cannot be a valid reason for leave - Mid-term Exam: 3.21 Tue, Final Exam: 4.29 Sat
- Closed-book exam. No computer/phone/calculator.
- Some problems will be similar to those in the past exams.
- 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.