- Email is the preferred method of communication. Class mailing list will be created as PHBS.ASP@allmail.net.
- Prelims: Probability Statistics Review | MC Method (Py demo)
- Past Exam: 2017-18 Midterm, 2018-19 Midterm
- Black-Scholes model (Py demo, MC demo): Also see Ch. 10 of StoFin Course Notes
- Normal (Bachelier) model (Slides)
- Implied volatility (Slides, Py demo)
- Spread/Basket options (Slides)
- SABR model (Slides)
- Copula (Slides, Py demo)
| No | Date | Contents |
|---|---|---|
| 01 | 9.03 Tue | Course overview, Probability Statistics Review (Slides) |
| 02 | 9.06 Fri | Scientific computing, Monte Carlo method, Random number generation (Slides). |
| 03 | 9.10 Tue | Continued (Py demo) |
| 04 | 9.11 Wed | Python crash course (Basic, Numpy). More cheatsheets also available in MLF CMS. |
| 05 | 9.17 Tue | HW2, Black-Scholes implementation (Py Demo), Implied volatility (Slides, Py demo) |
| 06 | 9.20 Fri | Black-Scholes and Normal models in MC (Py Demo), Normal model (Slides), Correlated Normal RNs (Py Demo) |
| 07 | 9.24 Tue | Black-Scholes Implementation, Spread/Basket options (Slides) |
| 08 | 9.27 Fri | Spread/Basket option implementation, Debugging in Python, Import(Py Demo) |
| x | x | No Class: National Day Week |
| 09 | 10.08 Tue | SABR model(Slides: Volatility smile, Local volatility model) |
| 10 | 10.11 Fri | HW2 review, SABR model (Slides), Stochastic Finance review |
| 11 | 10.15 Tue | SABR model (Slides): Conditional MC method |
| 12 | 10.18 Fri | Review for midterm exam |
| 13 | 10.22 Tue | Midterm exam |
| 14 | 10.25 Fri | Copula (Slides, Py demo) |
| 15 | 10.29 Tue | Copula (Slides, Py demo), Github Pull-request |
| 16 | 11.01 Fri | Research Presentation: (Sum of BSM models) and HW3 review |
| 17 | 11.05 Tue | Course project presentation (or Research Presentation (NSVh model) and HW4 review) |
| 18 | 11.08 Fri | Course project presentation |
-
- Register on Github.com and send your ID and student number to Prof. Choi via email (jaehyuk@phbs.pku.edu.cn). Use your full name in your profile. Accept invitation to the PHBS organization from TA. Install Github Desktop.
- Install Anaconda Python distribution (3.X version, not 2.X version). Anaconda distribution is core Python + useful scientific computation libraries (e.g., numpy, scipy, pandas) + package management system (pip or conda)
- Send the screenshot of Github desktop and Anaconda installed to TA. (Example: Github Desktop, Anaconda Spyder)
Course Project: 2018 Project Description
- Lectures: Tues & Fri 1:30 – 3:20 PM
- Venue: PHBS Building, Room 209
Instructor: Jaehyuk Choi
- Office: PHBS Building, Room 755
- Phone: 86-755-2603-0568
- Email: jaehyuk@phbs.pku.edu.cn
- Office Hour: TBA
- Email: xxxx@pku.edu.cn
- TA Office Hour: TBA (Room 213/214)
Applied Stochastic Processes (ASP) is intended for the students who are seeking advanced knowledge in stochastic calculus and are eventually interested in the jobs in financial engineering. As the name indicates, the course will emphasis on applications such as numerical calculation and programming. On completion of this course, the students will learn how financial observations (e.g. stock prices and FX rate) are modelled with stochastic processes and how they can be computed using analytics or computer simulations.
Stochastic Finance (FIN 519), a year 1 required course for quantitative finance program, is a prerequisite for the ASP since it provides theoretical background. Undergraduate-level knowledge in probability, statistics, linear algebra and programming skill (Python) are also highly recommended.
- Monte Carlo Methods in Finance by Peter Jaeckel
- Option Valuation Under Stochastic Volatility by Alan Lewis
- Stochastic Calculus and Financial Applications by J. Michael Steele (Stochastic finance course notes)
Attendance 20%, Mid-term Exam 30%, Assignments 20%, Course Project 30%
- Midterm exam: 10.23 Tues. Open-book exam without computer/phone/calculator use. No final exam.
- Course project: Presentation (Last week). Group up to X people.
- Attendance: Randomly checked. The score is calculated as 20 – 2
x(#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 - Grade in letters (e.g., A+, A-, ... ,D+, D, F). A- or above < 30% and B- or below > 10%.