- Class mailing list will bs created as PHBS.StoFin@allmail.net soon. But, the announcements will be made in DingTalk group chat.
- Course Note: Supplementary to textbook (
SCFA). - Problems and Solutions (SCFA/HW/Midterm/Final)
| No | Date | Contents |
|---|---|---|
| 01 | 9.03 Tue | Course overview, Probability Statistics Review (Slides) |
| 02 | 3.12 Fri | Probability Statistics Review (Slides) |
| 03 | 3.16 Tue | SCFA Ch. 1, World Series Derivative |
| 04 | 3.19 Fri | SCFA Ch. 2 |
| 05 | 3.23 Tue | SCFA Ch. 3 |
| 06 | 3.26 Fri | SCFA Ch. 4 [HW1, Due Tuesday] |
| 07 | 3.30 Tue | Bachelier (Normal) Model (Slides) |
| 08 | 4.02 Fri | SCFA Ch. 5 (Knock-out option under Normal model), Ch. 6 |
| 09 | 4.06 Tue | SCFA Ch. 6, Questions Review |
| 10 | 4.09 Fri | Midterm Exam |
| 11 | 4.13 Tue | Ch. 7-8 |
| 12 | 4.16 Fri | Midterm exam review. Ch. 9 |
| 13 | 4.20 Tue | Ch. 9 |
| 14 | 4.23 Fri | Ch. 10 (Black-Scholes) |
| 15 | 4.27 Tue | Ch. 12 (Martingale representation theorem), Ch. 13 (Girsanov Theorem) |
| 16 | 4.28 Wed | Ch. 13 (Girsanov Theorem) |
| 17 | 5.04 Tue | Ch. 14 (Equivalent Martingale Measure) |
| 18 | 5.07 Fri | Ch. 14 |
| Exam | 5.15 Sat | 11 AM - 1 PM. Final Exam |
- Lectures: Tuesday & Friday 10:30 – 12:20 AM
- Venue: PHBS Building, Room 231
Instructor: Jaehyuk Choi
- Office: PHBS Building, Room 755
- Phone: 86-755-2603-0568
- Email: jaehyuk@phbs.pku.edu.cn
- Office Hour: Tuesday 9-10 PM / Friday 3:30-4:30 PM
- Email: 1901212637@pku.edu.cn
- TA Office Hour: Monday 7-9 PM / Wednesday 1:30-3:20 PM (Room 213/214)
- SCFA: Stochastic Calculus and Financial Applications by J. Michael Steele
- Attendance 20%, Assignments 20%, Mid-term Exam 30%, Final Exam 30%
- 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: 4.09 Fri. In-class open-book without computer/phone/calculator
- Final Exam: 5.15 Fri. In-class open-book without computer/phone/calculator
- 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.