Financial Mathematics Student Seminar, Spring
2003
Tues 4:15-5:15 - Harrelson Hall 375
Organizer: Sean Han
Office Hours: 10 - 11 am on Wed. and Fri. at 424 Withers hall
Phone: 515-7366
chan2@unity.ncsu.edu
Agenda:
Week 18 at May 15: Final Exam. 8-11 am.
Week 17 at May 9: Gaussian density of Vasicek Model, Infinitesimal Generators of Ito diffusions. Feynman-Kac formula.(We will meet in Room 430 Withers Hall at 4pm. )
Week 16 at Apr. 30: No Seminar. Replace by a review on May 9.
Week 15 at Apr. 23: Jump Diffusion Model.
Week 14 at Apr. 15: Replaced by a talk given by Prof. Carl Meyer.
The title of his talk is "Mathematical Fuel for Search Engines" and it is held at 4pm, 201 HA.
Week 13 at Apr. 8: Barrier and Lookback options; Similarity reduction method for pricing PDE.
Week 12 at Apr. 1: Problems Discussion.
At Apr. 1's lecture, I introduced Asian options including geometric and arithmetic average
floating strikes. The corresponding pricing formula and pricing PDE were derived separately.
Week 11 at Mar. 25: No Seminar.
Week 10 at Mar. 18: Implied Volatility of ^SPX. Does it smile (or skew)?
Week 9 at Mar. 11: Spring Break.
Week 8 at Mar. 4: NO SEMINAR.
Week 7 at Feb. 25: Ito Calculus:
integration by parts; Exponential Martingale.
Week 6 at Feb. 18: Discussion on HW Assignment 1; Snell Envelop of American
put Option.
Week 5 at Feb. 11: Comparison of American Option and European option
prices; Jensen's Inequality; Review of Conditional Expectation; Optional
Sampling Theorem.
Week 4 (time changed): Martingale Transform; Characterization of the
EMM P*; Pricing with the EMM P*.
Make-up is in 429-A WI (entrance from 428 WI) at 12:30 - 1:20 on Monday(Fe.
10). Please contact with me if you have time conflict.
Week 3 at Jan. 28: Characteristics of Conditional Expectation and its
Geometric Representation: Projection in L_2 space.
Week 2: No Seminar.
Talks:
FM Courses Link:
ECG790C:
Computational Methods in Economics
ST522:
Statistical Theory II