1. THE FUNDAMENTAL THEOREM OF ARBITRAGE PRICING
2. MULTIPERIOD MODELS AND TREES
3-4. MARTINGALES
5. BROWNIAN MOTION
6. THE ITˆO CALCULUS
7. BLACK–SCHOLES THEORY
8. THE CAMERON–MARTIN FORMULA AND BARRIER OPTIONS
9. A MODEL FOR FOREIGN EXCHANGE
10. CHANGE OF MEASURE AND THE GIRSANOV THEOREM
12. STOCHASTIC DIFFERENTIAL EQUATIONS, DIFFUSION PROCESSES, AND THE FEYNMAN-KAC FORMULA
15. AMERICAN OPTIONS
- Lecture15.pdf
- Lecture1.pdf
- Lecture2.pdf
- Lecture3.pdf
- Lecture5.pdf
- Lecture6.pdf
- Lecture7.pdf
- Lecture8.pdf
- Lecture9.pdf
- Lecture10.pdf
- Lecture12.pdf
[此贴子已经被作者于2006-4-4 10:25:09编辑过]