Statistics 955: Stochastic Calculus and Financial Applications
Homework No. 3
Instructions. Complete your reading of Chapters 1,2,3 (Section 2.6 is optional).
Keep a list (for yourself) of facts that you should have in active memory. Review
DCT, MCT, Fat
Statistics 955: Stochastic Calculus and Financial Applications
Homework No. 4
Instructions. Complete your reading through the through Chapter 4. You can
skim the material on uniform integrability and skip the material on the martingale
convergence theorem
Statistics 955: Stochastic Calculus and Financial Applications
Homework No. 5
Instructions. Complete your reading of Chapter 5 (omitting Section 5.5) and
then read Chapter 6. Some of Chapter 6 may make your eyes glaze over; stick
with it and read with a p
Statistics 955: Stochastic Calculus and Financial Applications
Homework No. 6
Instructions. Complete your reading through the middle of Chapter 8 (pages
1123). For your own understanding (not to be handed in) ll in all the details of
the proof of Theorem
Statistics 955: Stochastic Calculus and Financial Applications
Homework No. 7
Instructions. Complete your reading of Chapters 8 and 9. Keep a list
of SDEs you can solve and keep notes about associated techniques of solution.
Problem 1. Consider a sequence
Stochastic Calculus and Financial Applications
Final Take Home Exam (Steele: Fall 2011)
Instructions. You may consult any books or articles that you nd useful.
If you use a result that is not from our text, attach a copy of the relevant
pages from your so
Stochastic Calculus and Financial Applications Final Take Home Exam (Steele: Fall 2006)
Instructions. You may consult any books or articles that you nd useful. If you use a result that is not from our text, attach a copy of the relevant pages from your so
Stochastic Calculus and Financial Applications Final Take Home Exam (Steele: Fall 2008)
Instructions. You may consult any books or articles that you nd useful. If you use a result that is not from our text, attach a copy of the relevant pages from your so
Stochastic Calculus and Financial Applications Mid-Term Take Home Exam (Fall 2008)
Instructions. You may consult any books or articles that you find useful. Give complete references for any results that you use. If a result you use is not from our text, a