Financiële stochastiek
2001-2002


Literature

T. Bjork, Arbitrage theory in continuous time
M. Musiela & M. Rutkowski, Martingale Methods in Financial Modelling
P.J. Hunt & J.E. Kennedy, Financial Derivatives in Theory and Practice (HK)
Ioannis Karatzas and Steve Shreve, Methods of Mathematical Finance

Treated topics

Week 1  HK: def 2.1, thm 2.2, def 2.4, thm 2.6, thm 2.9, thm 2.11, def 2.12, ded 2.13, prop 2.14, thm 2.15, thm 2.16, def 3.1, def 3.6, def 3.7, thm 3.11, def 3.12, thm 3.13, def 3.15, thm 3.18, def 3.24, thm 3.25, cor 3.26, thm 3.27.
Week 2 HK: def 3.31, def 3.32m thm 3.37, thm 3.44, def 3.47, cor 3.48, thm 3.49, thm 3.50, thm 3.53, prop 3.54, def 3.56, prop 3.58, def 3.59, thm 3.60, thm 3.62, def 3.63, thm 3.66, thm 3.70, def 3.74, lemma 3.79, thm 3.79, cor 3.81, def 3.90, def 4.2, def 4.5, lemma 4.6, def 4.8, thm 4.10, lemma 4.12, thm 4.13, cor 4.14.
Week 3 HK:thm 4.17, thm 4.18, thm 4.19, cor 4.20, def 4.21, def 4.23, lemma 4.25, def 3.83, lemma 3.86, thm 3.87, def 4.26, thm 4.28, thm 4.31, thm 4.35, ex 4.36, thm 4.38, cor 5.9
Week 4
Week 5
Week 6
Week 7
Week 8
Week 9
Week 10

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