Fall 2001

Professor Steve Lalley

118 Eckhart Hall

Office Hours: Thursday 1:00 - 2:30

Phone: 702-9890

E-mail:

Bookmark this page! As the course progresses, I will post Lecture Notes, homework assignments, and other information here.

WARNING: Do not reproduce or distribute the lecture notes posted on this web page. Unauthorized reproduction or distribution of the contents of this page is a copyright violation.

- Course Description
- Lecture 1: The Fundamental Theorem
- Lecture 2: Multiperiod Models
- Lecture 3&4: Martingales
- Lecture 5: Brownian Motion
- Lecture 6: The Ito Integral
- Lecture 7: The Black-Scholes Formula
- Lecture 8: The Cameron-Martin Formula and Barrier Options
- Lecture 9: Foreign Exchange
- Lecture 10: Girsanov's Theorem
- Homework Assignment 1
- Homework Assignment 2
- Homework Assignment 3 Corrected 10/15
- Homework Assignment 4
- Homework Assignment 5
- Homework Assignment 6
- Homework Assignment 7
- Homework Assignment 8
- Homework Assignment 9 Due Wednesday December 5

The most famous and important paper in mathematical finance may be downloaded at no charge here .

EXAMS. The Midterm and Final Exams will be held in KENT 107 . The Midterm will be administered on Wednesday October 24 , and the Final on Wednesday December 5 from 6:00 until 9:00 p.m.

WEEKLY REVIEW. There will be a weekly review session led by the course assistants each FRIDAY at 4:00. Review sessions will meet in ECKHART 203.

STATISTICS 391/MATH FINANCE 346 Winter 2004: Here are the Class Notes and HW for the week of January 14: