FRE6303, Midterm Examination
Monday October 27 2014, 6:00pm-8:30pm
Notes:
1. This examination contains 3 pages, including this one.
2. For this examination, you may only use a 2-page cheat sheet. No other notes, books or electronic
devices may be used. Ce

FRE6303, Midterm Examination
Monday October 27 2014, 6:00pm-8:30pm
Notes:
1. This examination contains 3 pages, including this one.
2. For this examination, you may only use a 2-page cheat sheet. No other notes, books or electronic
devices may be used. Ce

FRE6233, Assignment 3, week 3
Question 1 (30 points)
Consider the Black-Scholes framework with the standard notations and a claim of the form
(S(T ) at time T > 0. We assume that the function satisfies the property
(t s) = t (s), t > 0.
1. (5 points) Writ

Stochastic Calculus and Option pricing,
assignment week 5
Agn`es Tourin
October 9, 2015
Problem: the Heston stochastic volatility model (drawn from the
textbook by Shreve, Stochastic Calculus)
Consider the Heston stochastic volatility model under a risk-n

FRE6233, assignment week 1
Agn`es Tourin
September 11, 2015
In the textbook by Bjork,
1. In chapter 4, exercises 4.2,4.3,4.4,4.8.
2. In chapter 5, exercises 5.5,5.6,5.7,5.8
1

FRE 6233 Stochastic Calculus and Option pricing
Week 2: The Ito integral and Itos lemma in
several dimensions
Agn`es Tourin
January 2, 2016
This Lecture draws heavily on the Textbook by S. Shreve entitled
Stochastic Calculus for Finance, Part 2, Springer,

Stochastic Calculus and option pricing
Week 5: The Partial Differential Equations
approach to option pricing
Agn`es Tourin
August 7, 2015
Partial Differential Equations
Most of the material for this Lecture is adapted from the textbook
by S. Shreve entitl

FRE 6233 Stochastic Calculus and option pricing
Application of Stochastic Calculus to the
Black-Scholes model
Lecture week 3
Agn`es Tourin
January 2, 2016
In these slides, I draw heavily from a number of books, in particular
1. Tomas Bjork, Arbitrage Theo

FRE 6233 Stochastic Calculus and Option Pricing
The martingale approach
Lecture week 4
Agn`es Tourin
August 7, 2015
In these slides, I draw heavily from a number of books, in
particular the textbook by S. Shreve, Stochastic Calculus for
Finance II: contin

Stochastic Calculus and Option Pricing
Week 1: From the Random walk to the Wiener
process, passing to the continuous-time limit,
modeling the flow of information by using
filtrations, application to the modeling of asset
prices.
Agn`es Tourin
September 14

FRE6233, Final Examination, May 19 2014, 2:30pm
Duration: 2h30
Notes:
1. This examination contains 4 pages, including this one.
2. For this examination, you may only use a 2-page cheat sheet. No other notes, books or electronic
devices may be used. Cell p

FRE6303, Midterm Examination
Monday March 30, 2015
Notes:
1. This examination contains 4 pages, including this one.
2. For this examination, you may only use a 2-page cheat sheet. No other notes, books or electronic
devices may be used. Cell phones may no

FRE6303, Final Examination, December 15 2014, 6:00pm
Duration: 2h30
Notes:
1. This examination contains 4 pages, including this one.
2. For this examination, you may only use a 2-page cheat sheet. No other notes, books or electronic
devices may be used. C

FRE6303, Midterm Examination
Monday March 30, 2015
Notes:
1. This examination contains 4 pages, including this one.
2. For this examination, you may only use a 2-page cheat sheet. No other notes, books or electronic
devices may be used. Cell phones may no