Financial Modeling

Fall 2008, PSTAT 223A

Tu-Th 12:30-1:45 - GIRV 1108

Jean-Pierre Fouque

		
Office Hours: Wednesdays 10-12 or by appointment

		
		Office: South Hall 5504
		Phone:  893-5637
fouque at pstat.ucsb.edu


TA: Winslow Strong, wstrong@umail.ucsb.edu

Discussion Time and Location: Th 4:00 - 4:50; Girv 2110
Office hours: TBA

Agenda:

Week 1:

  • Thursday September 25:

    Course Outline

  • Introduction to financial derivatives - One-period model (2 lectures).
  • Cox-Ross-Rubinstein discrete binomial model (2).
  • Stochastic calculus (4).
  • Black-Scholes continuous time model (2).
  • PDE approach (2).
  • Risk-neutral valuation (2).
  • Exotic options (4).

    Prerequisites: PSTAT 213 A-B-C Introduction to Probability Theory and Stochastic Processes

    TEXT:
    Tomas Bjork, Arbitrage Theory in Continuous Time. Oxford, Second Edition (2004).