| Week | Subjects |
|---|---|
| 1 (Jan 9) | Historical comments and introduction to risk neutral pricing. Basic Black Scholes theory. (Ch 10 Hull, Ch 2 and 3 of Bjork). |
| 2 (Jan 16) | More on the basic pricing theory, implied volatility. (Bjork Ch 4+5 and Ch 7. 8 and 9). |
| 3 (Jan 23) | Stochastic volatility (Ch 12 in Hull, Ch 7 and Ch 15 of Bjork). Review. |
| 4 (Jan 30) | More on incomplete markets and stochastic volatility (Hull Ch 12, Bjork Ch 15). |
| 5 (Feb 6) | Midterm (Feb 7). Introduction to interest rate models. |
| 6 (Feb 13) | Short rate interest models (Vasicek) and the pricing of bonds. (Bjork Ch 22 and 23) |
| 7 (Feb 20) | More on short rate models. The basic HJM theory. (Bjork Ch 25) |
| 8 (Feb 27) | Basic portfolio theory (Bjork Ch 19). |
| 9 (Mar 5) | Introduction to statstical arbitrage. |
| 9 (Mar 12) | Statstical arbitrage. Take-home final given on March 15 (last class) and due on March 22. |