Stochastic Finance 2023-24 Module 3 (Spring 2024)

Announcements

• The WeChat group will be created by TA. (No 1-to-1 chat please.)
• Class mailing list will be created as PHBS.StoFin@allmail.net soon.

Resources

• Course Note: Supplementary to textbook (SCFA).
• Problems and Solutions (SCFA/HW/Midterm/Final)
  • Midterm Exams in Past Years: 2016 ASP | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022
  • Final Exams in Past Years: 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022

Lectures

No	Date	Contents
01	2.19 Mon	Course overview, Probability Statistics Review (Slides)
02	2.22 Thur	Probability Statistics Review (Slides)
03	2.26 Mon	SCFA Ch. 1, World Series Derivative
04	2.29 Thur	SCFA Ch. 2
05	3.04 Mon	SCFA Ch. 3
06	3.07 Thur	SCFA Ch. 4
07	3.11 Mon	Bachelier (Normal) Model (Slides)
08	3.14 Thur	SCFA Ch. 6, Questions Review (optional)
09	3.18 Mon	Midterm Exam
10	3.20 Wed	SCFA Ch. 5 (Knock-out option under Bachelier model), Ch. 6
11	3.21 Thur	Ch. 7-8
12	3.25 Mon	Midterm exam review. Ch. 9
13	3.28 Thur	Ch. 9
14	4.01 Mon	Ch. 10 (Black-Scholes)
15	4.08 Mon	Ch. 12 (Martingale representation theorem), Ch. 13 (Girsanov Theorem)
16	4.11 Thur	Ch. 13 (Girsanov Theorem)
17	4.15 Mon	Ch. 14 (Equivalent Martingale Measure)
18	4.18 Thur	Ch. 14
Exam	4.21 Sun	Final Exam 11 AM - 1 PM

Homeworks:

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Syllabus

Classes:

• Lectures: Monday & Thursday 10:30 AM – 12:20 PM
• Venue: PHBS Building, Room 313

Instructor: Jaehyuk Choi

• Office: PHBS Building, Room 755
• Phone: 86-755-2603-0568
• Email: jaehyuk@phbs.pku.edu.cn
• Office Hour: Monday 7 - 9 PM (Tentative)

Teaching Assistance: 周恩泽 (Zhou Enze)

• Email: zhouenze@stu.pku.edu.cn
• TA Office Hour: ** TBA ** (Room 213/214)

Textbooks and Reading Materials

• SCFA: Stochastic Calculus and Financial Applications by J. Michael Steele

Assessment / Grading Details

• Attendance 20%, Assignments 15%, Mid-term Exam 30%, Final Exam 35%
• Attendance: Randomly checked. The score is calculated as 20 – 2x(#of absence). Leave requests should be made 24 hours before with supporting documents, except for emergencies. Job interview/internship cannot be a valid reason for leave
• Mid-term Exam: 3.21 Tue, Final Exam: 4.29 Sat
  • Closed-book exam. No computer/phone/calculator.
  • Some problems will be similar to those in the past exams.
• 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.