| Week | Subjects |
|---|---|
| 1 | Historical comments and introduction to risk neutral pricing. Basic Black Scholes theory. (Ch 10 Hull, Ch 2 and 3 of Bjork). |
| 2 | More on the basic pricing theory, implied volatility. (Bjork Ch 4+5 and Ch 7. 8 and 9). |
| 3 | Stochastic volatility (Ch 12 in Hull, Ch 7 and Ch 15 of Bjork). Review. |
| 4 | More on incomplete markets and stochastic volatility (Hull Ch 12, Bjork Ch 15). |
| 5 | Introduction to interest rate models. |
| 6 | Short rate interest models (Vasicek) and the pricing of bonds. (Bjork Ch 22 and 23) The basic HJM theory (Bjork Ch 25) |
| 7 | Basic portfolio theory. |
| 8 | More on portfolio theory (Bjork Ch 19).1G |
| 9 | Introduction to statstical arbitrage. |