100383 Applied Stochastic Processes

Course offering details

Instructors: Dr. Keivan Mallahi Karai

Type: Lecture

Org-unit:

Course Name Abbreviation: ApplStochProc

Credits: 7.50

Min. | Max. participants: - | -

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

Official Course Description:
This course aims at an introduction to the mathematical theory of financial
markets that discusses important theoretical concepts from the theory of stochastic processes
developed in parallel to their application to the mathematical finance.
The applied part of this course revolves around the central question of option pricing in
markets without arbitrage which will be first posed and fully solved in the case of binomial
model. Interestingly enough, many of the fundamental concepts of financial mathematics such
as arbitrage, martingale measure, replication and hedging will manifest themselves, even in
this simple model. After discussing conditional expectation and martingales, more sophisticated
models will be introduced that involve multiple assets and several trading dates. After
discussing the fundamental theorem of asset pricing in the discrete case, the course will turn to
continuous processes. The Wiener process, It¯o integrals, basic stochastic calculus, combined
with the main applied counterpart, the Black-Scholes model, will conclude the course.
This course alternates with Stochastic Processes.

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 Wed, 5. Feb. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
2 Fri, 7. Feb. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
3 Wed, 12. Feb. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
4 Fri, 14. Feb. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
5 Wed, 19. Feb. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
6 Fri, 21. Feb. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
7 Wed, 26. Feb. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
8 Fri, 28. Feb. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
9 Wed, 5. Mar. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
10 Fri, 7. Mar. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
11 Wed, 12. Mar. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
12 Fri, 14. Mar. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
13 Wed, 19. Mar. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
14 Fri, 21. Mar. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
15 Wed, 26. Mar. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
16 Fri, 28. Mar. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
17 Wed, 2. Apr. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
18 Fri, 4. Apr. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
19 Wed, 9. Apr. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
20 Fri, 11. Apr. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
21 Wed, 23. Apr. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
22 Fri, 25. Apr. 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
23 Wed, 30. Apr. 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
24 Fri, 2. May 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
25 Wed, 7. May 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
26 Fri, 9. May 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
27 Wed, 14. May 2014 11:15 12:30 East Hall 2 Dr. Keivan Mallahi Karai
28 Fri, 16. May 2014 08:15 09:30 East Hall 2 Dr. Keivan Mallahi Karai
Course specific exams
Description Date Instructors Mandatory
1. Final Exam Mon, 26. May 2014 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 > Mathematical Sciences > Undergraduate Level Courses
Class Session Overview
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Instructors
Dr. Keivan Mallahi Karai