Math/Stat 492A: Stochastic Calculus for Option Pricing

Autumn 2011

Instructor: Zhen-Qing Chen

Phone: (206) 543-1907 (Office)
Fax: (206) 543-0397
Office: Padelford Hall, Room C525
Email: zchen@math.washington.edu
Office hours: Wed: 3:30-4:20 pm. F: 1:30-2:20 pm., and by appointment

Lectures: MWF: 10:30-11:20 am., EEB 003

Textbooks (Optional).

Jaksa Cvitanic and Pernando Zapatero, Introduction to the economics and mathematics of financial markets . MIT Press, 2004.

Steven E. Shreve Stochastic calculus for finance. Vol. I and II . Springer-Verlag, 2004.

We will start with a derivation of the Black-Scholes formula. The main topics will be Brownian motion, stochastic analysis and applications to mathematical finance.

The prerequisite for this course is 2.0 in MATH/STAT 394-5.

Class Assignments and Grading

There will be weekly homework assignments, two midterm exams and one final. The final grade of this course will be based on midterm exams (30% each) and final (40%).

See Course Syllabus (in pdf format) for more informations

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Homework Assignments