Instructor: Matthias Köppe (3143 MSB)
TA: Jeff Anderson
Textbook: Steven E. Shreve, Stochastic Calculus for Finance, Volume I: The Binomial Asset Pricing Model, Springer, ca. 30$
Grading: Homework 30%, Midterm 30%, Final 40%. The lowest grade of the homework series will be dropped. There will be two midterms. The lowest grade of the two midterms will be dropped.
Homework will be assigned, and other announcements will be made, via SmartSite. Auditors, let me know and I will give you access to the course materials on SmartSite.
Exam Dates:
Midterm 1 (in class): Wednesday, Apr 27
Midterm 2 (in class): Friday, May 20
Final -- as announced on MyUCDavis
Syllabus: We will depart from the department syllabus somewhat. We focus on the binomial asset pricing model, as found in the Shreve textbook, plus some topics that illustrate the use of optimization methods in finance.
Class computer accounts: Some homework will be computer-based. You will need class accounts; to create one, please go to: http://www.math.ucdavis.edu/comp/class-accts