1 |
Lecture notes: up to section 3.5 |
2 |
Lecture notes: most of sections 3.6 and 4.1
Homework: exercises 3, 4, 5, 6 |
3 |
Lecture notes: most of sections 4.2 and 4.3
Homework: exercises 8, 9, 10, 11 |
4 |
Lecture notes: most of sections 4.4, 5.1 and 5.2
Homework: exercises 13, 14, 15 |
5 |
Korn, parts of chapter 1 and of sections 2.1 and 2.2
Homework: preparation of presentation of the final examples of Section 5 of the lecture notes, and exercise 16 |
6 |
Korn, remainder of section 2.2, and section 2.3
Homework: 4 exercises out of "17 - 21". |
7 |
Korn, sections 2.4, 3.2, Appendix C up to HJB equation
Homework: exercises 22, 23, 24. |
8 |
Korn, section 3.3
Homework: exercises 25, 27, 28 |
9 |
Korn, section 3.4(i)
Homework: exercises 31 and 32 |
10 |
Korn, section 3.4(ii)
Homework: preparation of presentations |
11 |
Presentations by students: Korn, section 3.6 and Korn&Korn section 5.4
Homework: none |
12 |
American options in discrete time, Elliott & Kopp, chapter 5, in particular sections 5.1, 5.4, 5.5 (skip definition 5.4.7 and what is related to it)
Homework: exercise 34. |
13 |
American options in continuous time, Elliott & Kopp, chapter 8
Homework: exercises 35 and 37. |