STK4510 - Autumn 2010

Teaching plan

DateTeacherPlaceTopicLecture notes / comments
26.11.2010No teaching or exercise classes       
19.11.2010FEB  Aud 3, VB  Monte Carlo methods  We discuss Monte Carlo methods for pricing options 
12.11.2010FEB  Aud 3, VB  Exercise class, from 10 approximately  We go though the rest of exam 2009, in particular, exercises 1 and 3, and c+d on exercise 2.

Suggested solutions can be downloaded here

 

12.11.2010FEB  Aud 3, VB  Proofs of representation theorems  We prove the Ito and martingale representation theorems. Sect. 4.3 in Øksendal  
12.11.2010FEB  Aud 3, VB  Exercise class  Exam from 2009 
05.11.2010FEB  Aud 3, VB  Compulsory exercise  We discuss the compulsory exercise 
05.11.2010FEB  Aud 3, VB  Exercise class, 11-12  Exercises 
29.10.2010FEB  Aud 3, VB  Options on several assets. Completeness, arbitrage and EMM  We price options on several assets, including for example spread and basket options (Sect. 4.7 in B). Next, we discuss the issues around completeness, arbitrage and existence of equivalent martingale measures (Sect. 4.8 in B).  
29.10.2010No exercise class due to compulsory exercise       
22.10.2010FEB  Aud 3, VB  Pricing of derivatives, the martingale approach  We use the martingale approach to price general derivatives. Sect. 4.5. in B. Next, we look at the connection to the other approach to pricing (Sect. 4.6 in B) 
22.10.2010FEB  Aud 3, VB  Exercise class, 11-12  Exercises 
15.10.2010FEB  Aud 3, VB  Girsanov's Theorem, and financial application  We state, prove and apply Girsanov's theorem, section 8.6 in Øksendal 
15.10.2010FEB  Aud 3, VB  Exercise class, 11-12  Exercises  
08.10.2010No teaching or exercise class       
01.10.2010No teaching or exercise class       
24.09.2010FEB  Aud 3, VB  Black & Scholes' option pricing formula  We derive the Black & Scholes Formula for the price of call options using Ito's Formula. Sections 4.2 and 4.3 in B. Read section 4.1 yourself.  
24.09.2010FEB  Aud 3, VB  Exercise class, 11-12  Exercises  
17.09.2010FEB  Aud 3, VB  Ito's Formula  We state and prove the stochastic chain rule, Ito's Formula. Sect. 4.1. in Ø 
17.09.2010FEB  Aud 3, VB  Exercise class, 11-12  Exercises  
10.09.2010FEB  Aud 3, VB  Conditional expectation  We define and study conditional expectation, sect. 3.2 in Ø  
10.09.2010FEB  Aud 3 VB  Exercise class, 11-12  Exercises

 

03.09.2010FEB  Aud 3,VB  Geometric Brownian motion, asset prices and Ito integration  We study a class of models for asset prices called geometric Brownian motion, and discuss some empirical issues (Ch. 2 in B). Next, we start discussing Ito integration (Sect. 3.1 in Ø).  
03.09.2010FEB  Aud 3, VB  Exercise class, 11-12  Exercises

 

27.08.2010Fred Espen Benth (FEB)  Aud 3, VB  Brownian motion as a basic model in finance  Definition of probability spaces and Brownian motion, the foundations of stochastic analysis: Chapters 2.1 and 2.2 in Øksendal (Ø)

Introduction to the course is given in Chapter 1 in Benth (B); which is left to self-reading (mostly). 

Published July 7, 2010 2:26 PM - Last modified Aug. 25, 2011 3:08 PM
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