(regularly updated, )
| 1 |
Lecture: sections 1.1 (partly, until p.7 half way), A.4 (partly), A.5 (partly).
Exercise class: 1.1, 1.2(a), A.10, A.12. Homework: read what has been treated during class (even if it was superficially) and make Exercises 1.3, 1.4, A.11 (remove, ignore the last part with $\hat{Y}$). See this too as experimenting a bit with what is doable (or not). |
2 |
Lecture: Remainder of Section 1.1, Section 1.2 up to Theorem 1.3.
Exercise class: Make Exercises A.13, 1.6, 1.7, and (if time permits) Exercise 2 of the additional exercises. Homework: Make Exercises 1.2(b), 1.5, and Exercise 1 of the additional exercises. |
| 3 |
Lecture: Discussion of portfolios and options, remainder of Section 1.2.
Exercise class: Make Exercises 1.8, 1.9, 1.11. Homework: Make Exercise 1.10 and read Sections A2, A3 (not all details, remember the main results there). |
| 4 |
Lecture: Sections 2.1, 2.2 until the first part of the proof of Theorem 2.5.
Exercise class: Make Exercises 2.1, 2.3, 2.4, 2.5. Homework: Make Exercises 2.2, 2.13 (needed for next time) and show that Equation (2.7) holds true. Make yourself familiar with the results of Section A.6 (and ask questions next time if necessary). |
| 5 |
Lecture: Some essentials of characteristic functions and Hilbert spaces, remainder of the proof of Theorem 2.5.
Exercise class: Make Exercises 2.6, 2.8 and Exercise 6 of the additional exercises. Homework: Read (also the last parts of) Section 2.2. Make Exercise 2.9 (show first that $E\exp(uZ)=\exp(\frac{1}{2}u^2)$ if $Z$ is standard normal and $u$ is real, simply by integration) and Exercise 5 of the additional exercises. |
| 6 |
Lecture: Section 2.3, the beginning of Section 3.1, and the backward heat equation.
Exercise class: Make Exercises 3.1, 3.2 (for this exercise you quickly glance at the proof of Proposition 3.2, in particular Eq (3.4) and what is around it), 3.4. Homework: Make Exercises 2.10, 2.14. |
| 7 |
Lecture: Remainder of Section 3.1 (Proposition 3.2 + proof, mentioning of Thm 3.3) and Section 4.1 up to Proposition 4.2.
Exercise class: none Homework: Make Exercises 3.5, 3.6 and 3.9 (due date after the two exam weeks). |
| 8 |
Lecture: Section 4.1 from Corollary 4.3, Sections 5.1, 5.2.
Exercise class: Make Exercises 4.4, 4.6, 4.7. Homework: Make Exercises 4.2, 4.5, 4.8, 5.1. |
| 9 |
Lecture: Section 5.3, Section 6.1 up to Proposition 6.1.
Exercise class: Make Exercises 5.3, 5.4(c,e) [the answer to (e) should be familiar to you], Additional exercise 9. Homework: Make Exercises 5.2, 5.4(a,b), Additional exercise 10. |
| 10 |
Lecture: Section 6.1 from Proposition 6.1 (and perhaps a recap of Section A.4).
Exercise class: Make Exercises 6.3, 6.8 and Additional exercise 13. Homework: Make Exercise 6.4 (ignore the reference to Lemma 6.6, just start from two representations and 'subtract'; think further of using quadratic variation) and Additional exercises 11 and 12. |
| 11 |
Lecture: Section 6.2.
Exercise class: Make Exercises 6.5, 6.9 and 6.12. Homework: Make Exercises 6.6, 6.7 and Additional exercise 14 |
| 12 |
Lecture: Sections 6.3, 7.1, Section 7.2 up to Proposition 7.4 / Corollary 7.5.
Exercise class: Make Exercises 4.11, 6.10, 7.4. Homework: Make Exercises 6.11 and 15 of the Additional Exercises. |
| 13 |
Lecture: Section 7.2 from Corollary 7.5, Sections 7.3, 7.4.
Exercise class: Make exercises 7.1, 7.5, 7.7. Homework: Make exercises 7.6 (don't give an explicit expression (unless you really want), but express the price of the straddle in terms of the prices of the constituents of the constant portfolio like in Exercise 7.7), 7.9 and Additional Exercise 16. |