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MATH6910.03, Fall 1999

Stochastic Calculus in Finance

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

- 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

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.
### Handouts

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.