SemesterSpring Semester, 2018
DepartmentMA Program of Money and Banking, First Year PhD Program of Money and Banking, First Year
Course NameQuantitative Methods in Finance (I)
Instructor
Credit3.0
Course TypeRequired
Prerequisite
Course Objective
Course Description
Course Schedule

No.    Date    Chapter Subjects and Assignments

1      02/27    Introduction

2      03/06    1 Probability theory

3      03/13    1 Probability theory

4      03/20    2 Information and filtered probability space

5      03/27    2 Conditional expectations

6      04/03    3 Brownian motion

7      04/10    3 First passage time

8      04/17    4 Stochastic calculus

9      04/24    4 Ito formula

10      05/01    Midterm examination

11      05/08    4 Black-Scholes-Merton equation

12      05/15    5 Risk-neutral pricing

13      05/22    5 Fundamental theorems of pricing

14      05/29    6 Partial differential equations

15      06/05    7 Exotic options

16      06/12    8,9 American options and change of measure

17      06/19    8,9 American options and change of measure

18      06/26    Final examination


Teaching Methods
Teaching Assistant
Requirement/Grading

Final tests, --------------------------------- 50 %

Mid-term examination-------------------------- 25%

Evaluation and/or Homework ------------------ 25%

Total 100%


Textbook & Reference

1. Shreve, S.E., Stochastic Calculus for Finance II Continuous-Time Models, Springer-Verlag, NY, 2004. (Textbook)

2. Musiela, M. and Rutkowski, M., Martingale Methods in Financial Modelling, Springer-Verlag, NY, 1997. (Reference)


Urls about Course
Attachment

Quantitative Methods in Finance _I_2017.pdf