AMAT
581/MATH681
(Fall
2016)

"Stochastic Calculus for Finance"

__Course Outline__

*Instructor:*

"Stochastic Calculus for Finance"

TuTh: 12:00pm-1:00pm

Tuesday |
Thursday |

9:30am-10:45am (75 minutes) |
9:30am-10:45am (75 minutes) |

1)
Stochastic
Calculus and the Dynamics of Asset Prices

2) Martingale Theory and Risk-Neutral Valuation

3) Interest Rate Models

4) Energy and Commodity Markets

6) Value-at-Risk and Risk Management

7) Levy Processes in Finance

2) Martingale Theory and Risk-Neutral Valuation

3) Interest Rate Models

4) Energy and Commodity Markets

6) Value-at-Risk and Risk Management

7) Levy Processes in Finance

First Class:
Tuesday, September 13, 2016, 9:30am

**Last day of class**: Thu, December 8, 2016

**A#1-5 due dates**: Sep27, Oct11, Oct25, Nov8, Nov29

**Project due date**: Dec 8, 2016

*Recommended
texts:*

Lecture Notes

Course Information Sheet

**Course Web Page**:

The current official syllabus for this course is available in the wall pockets across from MS 476 and

on the webpage at www.math.ucalgary.ca Course Listing-Undergraduate.

There is also a web page for this course which contains the course outline, tentative course schedule, grading scheme, important class dates, etc.

Announcements made in class will be posted there (see end of this web-page). The address of this web page is:*http://www.math.ucalgary.ca/~aswish/amat581_681Fall2016.html/*

Lecture Notes

Course Information Sheet

The current official syllabus for this course is available in the wall pockets across from MS 476 and

on the webpage at www.math.ucalgary.ca Course Listing-Undergraduate.

There is also a web page for this course which contains the course outline, tentative course schedule, grading scheme, important class dates, etc.

Announcements made in class will be posted there (see end of this web-page). The address of this web page is:

* Class work:
In-class lectures with typical examples (lecture notes will be
posted on the webpage in the form of pdf-files*);

your computer must have an Adobe Acrobat reader (for free downloading see www.adobe.com).

*Grading scheme (Course Evaluation):*

Assignments, Project |
Due Dates for Assignments and Project |

Assignmnmets: 50% |
A1:Sept27; A2:Oct11; A3:Oct25; A4: Nov8; A5:Nov29 |

Project: 50 % |
Dec 8, 2016 ()pdf-file sent by e-mail |

Tentative Lectures Schedule for AMAT 581/681

Announcements:

Assignments5)
Assignment #5: Due-November 29, 2016 (in-class)
4) Assignment #4: Due-November 8, 2016 (in-class) 3) Assignment #3: Due-October 25, 2016 (in-class) 2) Assignment #2: Due-October 11, 2016 (in class) 1) Assignment #1: Due-September 27, 2016 (in-class) Projects
(pdf-file sent by e-mail):
Due-Thursday, December 8, 2016 |