MATH 6910 - Stochastic Calculus in Finance

WINTER 2009


This course will introduce the basic ideas and methods of stochastic calculus and will apply these methods to financial models, particularly the pricing and hedging of derivative securities. We will start by introducing the concepts of arbitrage, hedging and risk-neutral pricing in a discrete-time setting, and will then move to more sophisticated continuous-time models. Along the way we will cover the following mathematical topics: Brownian Motion, Stochastic Integrals, Ito's Formula, Martingales, and Girsanov transformations.

Prerequisites: A solid knowledge of calculus and basic probability theory (random variables, expectation, variance, etc.) will be assumed. The necessary concepts from measure theory and stochastic processes will be introduced as they are needed.

Text: Steven E. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer.

Instructor: Hanna Jankowski
E-mail: hkj[at]mathstat.yorku.ca
Please include "[6910]" in the subject of your e-mail. Also, plain text messages only, no html.
Office: N621B Ross

[Syllabus]

FINAL: Thursday, May 14th, 7pm-10pm, VH3009.

Office Hours:
Monday, May 11th, 2-3 pm, in my office.
Wednesday, May 13th, 5-7pm, in Ross N638.
Thursday, May 14th, 3-5pm, in my office.

N.B. Please note that I am away starting May 18th.



Announcements:



Discussion Forum:

You can access the discussion forum here. All students enrolled in the class should be able to have access. My hope is that the forum will be used to discuss homework/assignment problems or class concepts. I will try to check the forum every other day or so to answer your questions.

To access the forum you will need an AML account. Instructions should be there (in the link) on how to get one. If you have trouble, let me know.

This is the first time that I'm using MOODLE at York, so there will probably be a short period of time before I am fully familiar with the system and how best to use it for our needs. I expect that there will be an adjustment period for us all. For now, if you have questions about how to use the forum, you can send me an e-mail and I'll try to answer it.



Assignments:




DateNotesExercises
review
March 9L1P1
March 16L2P2
March 23L3P3, RW
March 30L4P4, BM
April 6 L5,picsP5
April 13 L6P6
April 20 L7P7
April 25 L8P8
April 27 L9P9
May 4 L10P10