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Mathematics of Derivative Theory
Instructor
Kazuo Kishimoto
E-mail
kishimot@sk.tsukuba.ac.jp
Office
3F1127
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
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
Grading Base on quizzes and the final exam
English in the Class Not used.

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