Course material:

J. Michael Steele, Stochastic Calculus and Financial Applications, Springer, 2000.

Lecture days:

Dates are: February 6 and 20 (Utrecht)
March 6 (Utrecht).
April 3-7 (Twente).
April 24 (Utrecht)

These dates are preliminary! Look at the web site for final dates!

Course outline:

February 6: Chapters 1 and 2.

February 20: Chapter 3.

March 6: Chapter 4.

Week in Twente: Chapters 5-9.

April 24: Discussion, questions, etc.

Exam:

Exercises and a written exam.

Exercises:

Assignments for 13/2/06: Exercises 1.3, 2.2, 2.3, 2.4 from the course book.  

Here are some hints. For 2.2, have a look at example 1 in section 2.1. For 2.3, remember the dominated convergence theorem (see the appendix).  

Assignments for 27/2/06: Exercises 3.1, 3.2, 3.3(a,b,c), 3.4 from the course book.  

Assignments in the Twente week:  

Exercises 6.1, 6.2, 6.3, 6.5.

Exercises 7.2, 7.3.

Exercises 8.2, 8.3, 8.4, 8.5.

Exercises 9.1, 9.2, 9.3, 9.4.  

On April 21, at 14:00, there is a meeting where the students can ask questions. This will be located in the Laplace building (Eurandom), room 1.18.