1 |
Class: Most of Sections 1.1, 1.2, 1.3
Homework: Read (also in the next weeks) the sections that I have treated in the classroom, also those pieces that I skipped. Take notice of (the gist of what is written in) Sections A.1 and A.2. Make Exercises 1.1, 1.2, 1.3 of Section 1.9. Tutorial: Exercise 1.5 and an exercise from the additional exercises |
2 |
Class: Sections 1.4, 1.5, 1.6
Homework: 1.9, 1.10, 1.11, additional Exercise 8, READ ALSO Section 2.1, especially the explanatory text. I'll come back to the definitions on September 21. Tutorial: 1.8, 1.15, additional Exercises 5, 7 (if there is enough time, otherwise drop one exercise) |
3 |
Class: Quick review of Section 2.1, Sections 2.2, 2.3
Homework: Make Exercises 2.1, 2.6, 2.7, 2.9 and read the Summary Sections 1.7 and 2.4. Also read the examples in Shreve, and pay special attention to the first three pages of Section 2.3, but ignore Equations (2.3.1) - (2.3.3) and the surrounding text. Tutorial: Exercises 2.2, 2.4, 2.10 |
4 |
Class: Sections 3.2 - 3.5
Homework: Make Exercise 3.2, 3.5 and additional Exercise 12 and read the relevant part of Section 3.8 Tutorial: Exercises 3.1, 3.4, 3.6 |
5 |
Class: Sections 4.2, 4.3
Homework: Exercises 4.2, 4.3 Tutorial: Exercises 4.1, 4.4 |
6 |
Class: Sections 4.4, 4.6
Homework: Carefully read the book on these sections! Make Exercises 4.7, 4.8 Tutorial: Exercises 4.9, 4.14 |
7 |
Class: Sections 4.6.3 (one-dimensional case), 5.2, 5.3
Homework: Read Section 5.4.1, make Exercise 5.5, and Exercise 8.3(a,b,c) from the lecture notes of another course in which you have to find the process Γ of Theorem 5.3.1 for the martingales in the exercise. Don't get confused by the notation X • W. It means stochastic integral, not a product and the X in the exercise is what Shreve calls Γ. Tutorial: Exercises 5.1, 5.8 |