lawlietlyf / stofin

PHBS Stochastic Finance Course Website

Stochastic Finance 2022-23 Module 3 (Spring 2023)

Announcements

• Class mailing list will bs created as [email protected] soon.

Resources

• Course Note: Supplementary to textbook (SCFA).
• Problems and Solutions (SCFA/HW/Midterm/Final)
  • Midterm Exams in Past Years: 2016 ASP | 2016 | 2017 | 2018 | 2019 | 2020 | 2021
  • Final Exams in Past Years: 2016 | 2017 | 2018 | 2019 | 2020 | 2021

Lectures

No	Date	Contents
01	2.21 Tue	Course overview, Probability Statistics Review (Slides)
02	2.24 Fri	Probability Statistics Review (Slides)
03	2.28 Tue	SCFA Ch. 1, World Series Derivative
04	3.03 Fri	SCFA Ch. 2
05	3.07 Tue	SCFA Ch. 3
06	3.10 Fri	SCFA Ch. 4
07	3.14 Tue	Bachelier (Normal) Model (Slides)
08	3.17 Fri	SCFA Ch. 6, Questions Review (optional)
09	3.21 Tue	Midterm Exam
10	3.24 Fri	SCFA Ch. 5 (Knock-out option under Bachelier model), Ch. 6
11	3.28 Tue	Ch. 7-8
12	3.31 Fri	Midterm exam review. Ch. 9
13	4.04 Tue	Ch. 9
14	4.07 Fri	Ch. 10 (Black-Scholes)
15	4.11 Tue	Ch. 12 (Martingale representation theorem), Ch. 13 (Girsanov Theorem)
16	4.14 Fri	Ch. 13 (Girsanov Theorem)
17	4.18 Tue	Ch. 14 (Equivalent Martingale Measure)
18	4.21 Fri	Ch. 14
Exam	4.29 Sat	Final Exam 4 - 6 PM

Homeworks:

---

Syllabus

Classes:

• Lectures: Tuesday & Friday 10:30 AM – 12:20 PM
• Venue: PHBS Building, Room 229

Instructor: Jaehyuk Choi

• Office: PHBS Building, Room 755
• Phone: [phone]
• Email: [email protected]
• Office Hour: Monday 7 - 9 PM

Teaching Assistance: 孙博 (SUN Bo)

• Email: [email protected]
• TA Office Hour: ** TBA ** (Room 213/214)

Textbooks and Reading Materials

• SCFA: Stochastic Calculus and Financial Applications by J. Michael Steele

Assessment / Grading Details

• Attendance 20%, Assignments 15%, Mid-term Exam 30%, Final Exam 35%
• Attendance: Randomly checked. The score is calculated as 20 – 2x(#of absence). Leave request should be made 24 hours before with supporting documents, except for emergency. Job interview/internship cannot be a valid reason for leave
• Mid-term Exam: 3.21 Tue, Final Exam: 4.29 Sat
  • Closed-book exam. No computer/phone/calculator.
  • Some problems will be similar to those in the past exams.
• Grade in letters (e.g., A+, A-, ... ,D+, D, F). A- or above < 30% and B- or below > 10%.
• The level of background knowledge may vary among students, but it will be ignored in grading. Grading will be strictly based on outcome, not on effort or progress.