* Here are the lecture notes.
| Teacher | Voice | Office | Office Hours | |
|---|---|---|---|---|
| Olivier Lévêque, I&C-LTHI | olivier.leveque#epfl.ch | 021 693 81 12 | INR 132 | Wednesday, 3:00 - 5:00 PM |
| Type | Day | Hour | Room |
|---|---|---|---|
| Lectures | Thursday | 9:15 AM - 11:00 AM | CE 1 100 |
| Exercise Sessions | Thursday | 11:15 AM - 12:15 PM | CE 1 100 |
| Date | Sujet |
|---|---|
| Thursday, February 19 | 1. Stochastic integral with respect to a martingale |
| Thursday, February 26 | 2. Semi-martingales, generalized Ito-Doeblin's formula, integration by parts formula |
| Thursday, March 5 | 3. Stochastic differential equations, strong and weak solutions |
| Thursday, March 12 | 4. Exponential martingales, Girsanov's theorem |
| Thursday, March 19 | 5. Black-Scholes formula (I) and option pricing |
| Thursday, March 26 | 6. Link between PDE's and SDE's |
| Thursday, April 2 | 7. Black-Scholes formula (II) and option hedging |
| Thursday, April 9 | No class (Easter break) |
| Thursday, April 16 | No class (Easter break) |
| Thursday, April 23 | 8. Multi-dimensional processes, diffusions |
| Thursday, April 30 | 9. Degenerate diffusions, existence and uniqueness of a martingale measure |
| Thursday, May 7 | 10. Local martingales |
| Thursday, May 14 | 11. Novikov's condition, Girsanov's theorem, Levy's theorem |
| Thursday, May 21 | No class (Ascension) |
|
Thursday, May 28 8:15 AM |
12. Change of time, local time |
| Problem sets | Date | Due | Solutions |
|---|---|---|---|
| Homework 1 | February 19 | February 26 | Solutions 1 |
| Homework 2 | February 26 | March 5 | Solutions 2 |
| Homework 3 | March 5 | March 12 | Solutions 3 |
| Homework 4 | March 12 | March 19 | Solutions 4 |
| Homework 5 | March 19 | March 26 | Solutions 5 |
| Homework 6 | March 26 | April 2 | Solutions 6 |
| Homework 7 | April 2 | April 23 | Solutions 7 |
| Homework 8 | April 23 | April 30 | Solutions 8 |
| Homework 9 | April 30 | May 7 | Solutions 9 |
| Homework 10 | May 7 | Monday, May 18 | Solutions 10 |
| Homework 11 | May 14 | Monday, May 25 | Solutions 11 |
| Quiz | May 28 | no | Answers sessions on Monday, June 8 at 2:00 PM, in room INR 113 |
Exam | Wednesday, June 17 2:00 PM - 6:00 PM room INM 200 |
June 17, 6:00 PM (!) | Solutions |