2. Office Hour: Friday 3pm-3:50pm, OBS3.30
3. Course Schedule
Week 1
9 Jul 2019, Lecture 1: Brownian motion and normal distribution
11 Jul 2019, Reviewing Calculus
Week 2
16 Jul 2019, Lecture 2: Probability density function of a function of Brownian motion
18 Jul 2019, Continue reviewing Calculus
Assignment 1 covers materials of Lecture 1 and 2. It is due in class on 25 Jul 2019 (Thu).
An article on Louis Bachelier
Week 3
23 Jul 2019, Lecture 3: Unconditional expectation of a function of a Brownian motion
25 Jul 2019, Continue Lecture 3
Week 4
30 Jul 2019, More exercises on deriving Black-Scholes type of formula
1 Aug 2019
Week 5
6 Aug 2019, Lecture 4: Conditional expectation of a function of a Brownian motion and martingale
8 Aug 2019, Continue Lecture 4
Assignment 2 covers materials of Lecture 3 and 4. It is due in class on 15 Aug 2019 (Thu).
Week 6
13 Aug 2019, Lecture 5: Stock price model, Ito's Lemma and option price model
15 Aug 2019, Continue Lecture 5
Week 7
20 Aug 2019, Review
22 Aug 2019, Midterm exam in OBSLG05 at 12pm-1:50pm
Mid-Semester Break
27 Aug 2019, No class
29 Aug 2019, No class
Week 8
3 Sep 2019, Lecture 6: No-arbitrage principle, forward price, put-call parity and the Black-Scholes model
5 Sep 2019, Continue Lecture 6
From Bachelier to Black-Scholes
Week 9
10 Sep 2019, Lecture 7: Poisson process
12 Sep 2019, Continue Lecture 7
Week 10
17 Sep 2019, Continue Lecture 7
Assignment 3 covers materials of Lectures 6 and 7. It is due in class on 24 Sep 2019 (Tue).
19 Sep 2019, Lecture 8: Merton's jump diffusion model
Week 11
24 Sep 2019, Continue Lecture 8
26 Sep 2019, Lecture 9: Mean-reverting process
Week 12
1 Oct 2019, Continue Lecture 9
Assignment 4 covers materials of Lecture 8 and 9. It is due in class on 8 Oct 2019 (Tue).
3 Oct 2019, Review
Week 13
8 Oct 2019, Review
10 Oct 2019, Review