Back to Tom Salisbury's Home Page
MATH6910.03, Fall 1999
Stochastic Calculus in Finance
Announcements and assignments will be posted here as they
- Course outline
- Take-home Exam
Note that there is a typo in question 5. In the SDE, the factor in
front of the dt should be
(theta - 2 alpha R_t). In other words, on the
test, the factor of 2 is missing.
Sorry about this, and thanks to the
many people who pointed this out.
- Assignment 2
- Assignment 1
Grades are posted outside my office. If you want to send me a query by
e-mail requesting your grade, I will be happy to comply. Projects and
exams can be picked up any time I am in the office. In particular,
my office hours are MF 2:30-3:30, so that is a good time to try to find me.
Solutions to the Exam are available, outside my office, as are those to
Assignment 2, and the handout on Girsanov transformations.
There are two typos on the handout.
- In formula (C), the second gamma_s should be squared.
- In the example of (6), F_3 doesn't have 32 elements, it has 256.