Downloads:
- Detailed Syllabus (Spring 2010)
- Homeworks: HW1; HW10 (Spring 2010)
- Midterm (Spring 2008)
- Final Exam (Spring 2010)
Instructor: Elena Kosygina
Topics:
Brownian Motion
Stochastic Calculus
Risk-Neutral Pricing
Connections with Partial Differential Equations
- Stochastic Differential Equations
- Partial Differential Equations
- Feynman-Kac formula
Exotic Options
- Maximum of Brownian Motion with Drift
- Knock-out Barrier Options
- Lookback Options
- Asian Options
American Derivative Securities
- Perpetual Americal Put
- Finite-Expiration American Put
Numeraires. Forward Measures.
Lecture Notes for each class were provided by the instructor.
Reference Books:
- Stochastic Calculus for Finance II, S. Shreve
- Monte Carlo Methods in Financial Engineering, P. Glasserman
- A Course in Financial Calculus, A. Etheridge