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.

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 _