100383 Applied Stochastic Processes

Course offering details

Instructors: Dr. Keivan Mallahi Karai

Type: Lecture

Org-unit:

Course Name Abbreviation: 100383

Credits: 7.50

Min. | Max. participants: - | -

Partial Grades:
Final Exam (40%, Mandatory)
Home Work (30%)
Midterm Exam (30%)

Official Course Description:
This is an introductory course in the mathematics of finance. The focus of this course will be mostly on option pricing with a brief discussion of risk theory at the end of the course. After reviewing the essential concepts from stochastic processes (random variables, expectation, Central limit theorem, Gaussian processes, Wienner processes) the course will continue with the most basic models of financial markets, namely binomial model. Already in this simple model many basic concepts such as arbitrage, martingale measure, replication and hedging will be discussed. We will then proceed to the more advanced versions (still in discrete time). After a brief discussion of stochastic calculus, the problem in continuous time will be introduced. The main important result in this part of the course is the Black-Scholes equation, which will be derived and solved in different ways.
If time allows, we will also briefly look at what is beyond Black-Scholes equation.

Literature
Primary Text
Required Reading (To view a list click a category.)
Recommended Reading (To view a list click a category.)
Appointments
Date From To Room Instructors
1 Th, 15. Mar. 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
2 Mon, 19. Mar. 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
3 Th, 22. Mar. 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
4 Mon, 26. Mar. 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
5 Th, 29. Mar. 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
6 Th, 12. Apr. 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
7 Mon, 16. Apr. 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
8 Th, 19. Apr. 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
9 Mon, 23. Apr. 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
10 Th, 26. Apr. 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
11 Mon, 30. Apr. 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
12 Th, 3. May 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
13 Mon, 7. May 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
14 Th, 10. May 2012 14:15 15:30 East Hall 8 Dr. Keivan Mallahi Karai
15 Mon, 14. May 2012 09:45 11:00 East Hall 8 Dr. Keivan Mallahi Karai
Course specific exams
Description Date Instructors Mandatory
1. Final Exam Wed, 23. May 2012 09:00-11:00 Dr. Keivan Mallahi Karai Yes
1. Home Work No Date No
1. Midterm Exam Time tbd No
Contained in course catalogues
Course catalogue
Course Catalogue > School of Engineering and Science > Undergraduate Programs > Mathematics
Class Session Overview
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Instructors
Dr. Keivan Mallahi Karai