Course Syllabus

Homework:

• Homework 1 Due: 2/6/01
• Homework 2 Due: 2/20/01
• Homework 3 Due: 3/27/01
• Homework 4 Due: 4/17/01

Some Computer Programs

(by John Ryan)

Course Notes

The whole file at once (232 pages)

Table of Contents

Introduction

Chapter 1: Discrete Models

• The Arrow Debreu Model
• The State-Price Vector
• The Up-Down and Log-Binomial Model
• Hedging in the Log-Binomial Model
• The Approach of Cox, Ross and Rubinstein
• The Factors
• Introduction to the Theory of Bonds
• Numerical Considerations



Chapter 2: Introduction to Stochastic Calculus, the Brownian Motion

• The Brownian Motion, Heuristic Approach
• Properties of the Brownian Motion
• Stocastic Integrals with respect to the Brownian Motion
• Stochastic Calculus, the Ito formula



Chapter 3: The Black-Scholes Model

• The Black-Scholes Equation
• Solution of the Black-Scholes Equation
• Discussion of the Black-Scholes Formula
• The Black-Scholes Formula for Dividend paying Assets



Chapter 4: Interest Derivatives

(not ready yet)

Chapter 5: Martingales, Stopping Times and American Options

• Martingales and Option Pricing
• Stopping Times
• Valuation of American Style Options
• American and European Style Options, a Comparison

Chapter 6: Path Dependent Options

• Introductions to Path Dependent Options
• The Distribution of Continuous Processes
• Barrier Options
• Asien Style Options

Appendix

Linear Analysis

• Basics from Linear Algebra and Topology in R^n
• The Theorem of Farkas and Consequences

Probability Theory

• An Example: The Binomial and Log-Binomial Process
• Basic notions of Probability Theory
• Conditional Expectations
• Distances and convergence for random variables

Bibliography

Copyright © 1998 by Th. Schlumprecht. All rights reserved.

This page has been accessed times since March 16,1998.