Statistics 391/ Math Finance 346 Home Page
Winter 2001

Instructor: S. P. Lalley
Professor Steve Lalley
118 Eckhart Hall
Office Hours: Monday 1:00 - 2:30
Phone: 702-9890
E-mail: lalley "atsign" galton.uchicago.edu

Course Assistants:

Hae K. Im 
29 Eckhart Hall
E-mail: haky@galton.uchicago.edu

Seongjoo Song
Eckhart 108
702-0959
E-mail: song@galton.uchicago.edu

Announcement: Final Exam will be held during the usual class time on Wednesday March 14.

Bookmark this page! As the course progresses, I will post Lecture Notes, homework assignments, and other information here. To return to the home page for Statistics 390/ Math Finance 345, click 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.

• Lecture 9: Foreign Exchange corrected 1/9/01
• Lecture 10: Change of Measure and the Girsanov Theorem corrected 1/9/01
• Lecture 11: Multifactor Models
• Lecture 12: Stochastic Differential Equations, Diffusion Processes, and the Feynman-Kac Formula corrected 1/18
• Lectures 13-14: Read Ch. 7 of Duffie
• Lecture 15: American Options
• Lecture 16: Hedging Path-Dependent Options
• Lecture 17: Asian Options
• Homework Assignment 1 Due Wednesday January 10
• Homework Assignment 2 Due Wednesday January 17
• Homework Assignment 3 Due January 31
• Homework Assignment 4 Due February 7
• Homework Assignment 5 Due February 14
• Homework Assignment 6 Due February 21
• Take a week off! No Homework Assignment due February 28.
• Homework Assignment 7 Due 1:00 p.m. Monday March 12