MATH3733 -- Stochastic Financial Modelling (15 credits, Semester 2)

Exam Wednesday 21.01.2007, 14:00, 3 hours

Suggested revision lecture: January 2008, Mon 19.01.2009 - 14:00, [please come to my office 10.18d]

While I am absent (13.12.2008-18.01.2009), if you have urgent questions, you may email and ask for a meeting (please, do not ask questions by email!) to

Professor John T. Kent: j.t.kent @ leeds.ac.uk

 

Preliminary Information

MATH3733 lecture notes

This is a collection of lecture notes organised as a connected text. As such, it slightly differs from the union of the handouts, in particular, because it has a third part, where all revision and new probability material has been collected, including, for example, conditional expectations.

Part 1: discrete time

Part 2: continuous time

Part 3: Probability basics

MATH3733 handouts

These handouts were prepared by A.Veretennikov with the help of references from literature and lecture notes (1999) by John Kent.

Blue colour in the text of a handout means an improvement or an addition after a handout was distributed. Magenta colour means also an addition which is more difficult and not compulsory. Before a corresponding lecture, any handout is a preliminary version.

FIRST PART: DISCRETE TIME

SECOND PART: CONTINUOUS TIME

Lecture 1

Lecture 11

Lecture 2

Lecture 12

Lecture 3

Lecture 13

Lecture 4

Lecture 14

Lecture 5

Lecture 15 (15.2 and everything about uniqueness is advanced reading)

Lecture 6

Lecture 16

Lecture 7

Lecture 17

Lecture 8

Lecture 18 (18.1 – 18.3 are advanced reading)

Lecture 9   

Lecture 19 (the proof is advanced reading)

CLT1: another proof (advanced reading)

 

Lecture 10

Lecture 20  (advanced reading)

 

Additional handout (06.12.2007) (the PDE part is advanced reading)

Exercises 0 from Handout 5 (Ex1 only)

 

Exercises 1     Solutions

 

Exercises 2:    Solutions

 

Exercises 3:    Solutions

 

Exercises 4:  (There will be no solutions)

 

Practical Task - A:  

Practical Task - B:

Comment

 

Some routine 1                 Some routuine 2

Exam 2004/2005 paper

Checklist 2008

Exam 2001/2002 paper

THE PRACTICAL SUBMISSION DEADLINE:

Fri 12.12.2008, 16:40

Exam 2005/2006 paper

 

Exam 2002/2003 paper

 

Exam 2003/2004 paper     _

© A.Veretennikov, 2003-2008

© University of Leeds, 2003-2008