Prof: Thomas Schlumprecht
Course Syllabus
Homework:
(by John Ryan)
Course Notes
(reviewed and corrected by Jochen Sutor, July 98):
The whole file at once (232 pages)
(partialy ready)
Chapter 1: Discrete Models
Chapter 2: Introduction to Stochastic Calculus, the Brownian Motion
Chapter 3: The Black-Scholes Model
Chapter 4: Interest Derivatives
(not ready yet)
Chapter 5: Martingales, Stopping Times and American Options
Chapter 6: Path Dependent Options
Appendix
Linear Analysis
Probability Theory
Copyright © 1998 by Th. Schlumprecht. All rights reserved.
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