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Mathematics of Derivative Theory |

Instructor |
Kazuo Kishimoto |
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E-mail |
kishimot@sk.tsukuba.ac.jp |
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Office |
3F1127 |
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Subject Number | 01CN301 | Units | 2 |

Category | MPPS:Assets and Resources (Electively Required) | ||

Type | Lecture | Year | 1st , 2nd |

Term Class Hour Classroom |
FallAB Wednesday 1,2 3C201 |
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Goal | To master the theory of option pricing starting from the binomial tree model. | ||

Prerequisites | Calculus, discrete and continuous elementary probability theory | ||

Class Plan | The Black-Scholes model is explained based on the binomial tree approximation. Other various types of options are also explained. | ||

Textbook | Handout will be used | ||

References | Fujita: Introduction to the Stochastic Process for Calculus(in Japanese), Kodansha Scientific, 2002 Shreve, S.E.: Stochastic Calculus for Finance, I and II, Springer, 2004 |
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Grading | Base on quizzes and the final exam | ||

English in the Class | Not used. |

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