Syllabus Tentative Schedule Class Notes Presentations Exercises & Sample Questions Downloaded Papers Final Project

Presentations   Date Chapter Title Presenter 03/15 Ch. 4( Neftci ) Pricing Derivatives Samantha Ch. 5( Neftci ) Tools in Probability Theory Victor 03/22 Ch. 6( Neftci ) Martingale and Martingale representation Ivan 03/29 Ch. 7( Neftci ) Differentiation in Stochastic Environments Kent Ch. 1( Berger ) Statistical Decision Theory and Bayesian Analysis Basic Concepts Sean 04/12 Ch. 8( Neftci ) The Wiener Process and Rare Events in Financial Market Jay Ch. 9( Neftci ) Integration in Stochastic Environments-The Ito Integral Sean 04/19 Ch. 10( Neftci ) Ito's Lemma Samantha Ch. 2( Berger ) Utility and Loss Wen 04/26 Ch. 11( Neftci ) The Dynamics of Derivative Prices Wen 05/03 Ch. 12( Neftci ) Pricing Derivative Product Ivan Ch. 3( Berger ) Prior Information and Subjective Probability Kent 05/17 Ch. 13( Neftci ) The Black-Scholes PDE Victor 05/24 Ch. 14( Neftci ) Pricing Derivative Product--Equivalent Martingale Measure Wen Ch. 4( Berger ) Bayesian Analysis Jay 05/31 Ch. 15( Neftci ) Equivalent Martingale Measures-Applications Sean 06/07 Ch. 16( Neftci ) Tools for Complicated Derivative Structures Jay

Teaching Center

Related Links

Contact Me

Home