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MATH6910.03, Fall 2002
Stochastic Calculus in Finance


Announcements and assignments will be posted here as they become available.

Grades

Final grades are posted outside my office. Anyone who can't come in to check grades can e-mail me to ask what they got. People can drop by my office to pick up project reports. If people want to look over their final exams, they should make an appointment to do so in my office.

Projects

Project presentation days/times/rooms are listed at the bottom of this page on the daily schedule. The writeups are due anytime before December 20. There will be a data projector and laptop available in the room for presentations, as well as an overhead projector. Presentations should be 15-20 minutes, and are meant to give the motivation and main ideas of the topic. Details should be left to the reports, which should be 10-20 pages in length.
Note that one group will be presenting before class on December 3, starting at 11:00, so please come early that day if you can.

Schedule

Tuesdays, 11:30-2:30, in 129 CCB, with the normal 30 minutes of breaks.
Note that since several students have a class immediately beforehand, we will normally start at 11:40, take a 10 minute break roughly half way through, and then finish at 2:20.

Text

Stochastic Calculus and Financial Applications, by J.M. Steele (Springer Verlag)

Midterm

The first midterm will cover the material we have done in class, up to the end of Ito's lemma. Since stochastic integrals and Ito's lemma weren't on the first assignment, you should try the practice problems (see below) on those topics. Solutions will be available on this webpage in due course.

Date of First Class

Note that graduate courses in the Department of Mathematics and Statistics normally start the second week of term. But as I will cancel class during the Schulich reading week, I in fact held the first lecture on September 10. Students who missed the first class can make up the material later on, as the material from the first class won't be applied till later in the course. Students unable to make up the material should contact me.

Assignments or Documents

Topics and Lecture Schedule

On September 10:

On September 17:

On September 24:

On October 1:

On October 8:

On October 15:

On October 22:

On October 29 there was no class (Schulich reading week)

On November 5:

On November 12:

On November 19:

On November 26:

I held class on December 3. If anybody missed it because of course conflicts, they should come to see me, in order to go over the material covered. There was a project presentation on lookback options.

December 4, 11:30-2:30 in S170 Ross: project presentations
(GARCH, Barrier options)

December 6, 11:30-2:30 in S170 Ross: project presentations
(American options, stochastic volatility, Black-Derman-Toy model, investment timing, asset allocation, term structure models)

December 13, 11:30-2:30, in S203 Ross: Final Exam.