As the course is digitally tutored on distance there will likely be a few changes of this course home page during the course.
If such a change is of importance students will be alerted by Canvas message about it asap.

 

Introduction Zoom meeting

Wednesday 4 November 3.15 PM. Zoom-link and password have been sent to students by Canvas message.

Course PM

Course PM pdf.

Program for the financial applications part of course pdf.

Nota bene

The course originally was intended for students who have had a first course in mathematical finance like, e.g., MVE095 "Options and Mathematics" as the financial part of the course took off from where such a first course ends. However, as the course has been made selectable for students who not necessarily have a course like MVE095 with them, a review of what is needed in terms of financial background knowledge is now done and should be enough to make MVE172 work well also for masters level students without financial background.

Handouts etc

The first two lectures consist of the following crash course in probability theory and useful facts from math pdf.
Basically, MVE172-students do not need the first 2 1/2 pages of this crash course (that is intended more for MSG800- and MVE170-students) but can start at the section "Axioms of Probability Theory" on page 3.

List of Errata for Hsu's book (version 14 November 2020) pdf.

Financial lecture notes authored by Simone Calogero pdf.

Basic Financial Concepts (pdf). Read this before the lectures start on the 4th week of the course.

Suggested template to write the report on the project (in LaTex) zip

Notes used in the zoom lectures on financial applications: Lecture 1, Lecture 2, Lecture 3. Same notes with the annotations taken during the lecture: Lecture 1 (complete), Lecture 2 (complete), Lecture 3 (incomplete)

Lecture program first part of course

Week 1: Crash course pdf and movie part 1 (not needed for MVE172 students), movie part 2. Sections 5.1-5.4 in Hsu pdf and movie.

Week 2: Section 5.5 in Hsu pdf and movie. Sections 5.6-5.7 in Hsu pdf and movie.

Week 3: Section 5.8 in Hsu pdf and movie. Sections 6.1-6.3B in Hsu pdf and movie.

Week 4 1'st half: Chapter 9 in Hsu pdf and movie.

Week 4 2'nd half - Week 7: Project course on financial applications (see the program above).

Link to zoom lectures on financial applications: 

https://chalmers.zoom.us/j/68419722780

The password has been sent in a Canvas message to the students. Remark: these lectures will not be recorded. Be sure to have the notes posted above during the lecture.

Zoom consultation meetings for lectures first part of course

Wednesdays 3.15 PM weeks 2-4.

Zoom-link and password has been communicated to students by Canvas message.

Exercises

Link to Exercises.

Zoom exercise sessions first part of course

Fridays 3.15-5 PM weeks 2-5.

Zoom-link and password has been communicated to students by Canvas message.

Week 2: Problems for own work Exercise Session 1.

Week 3: Problems for own work Exercise Session 2.

Week 4: Problems for own work Exercise Session 3.

Week 5: Problems for own work Exercise Session 4.

Zoom consultation meetings for exercises first part of course

Thursdays 10 AM weeks 2-4.

Zoom-link and password has been communicated to students by Canvas message.

Student representatives

Wenli Gao wenli_g@126.com .

Jiapeng Sun Jiapeng.Sun@outlook.com .

Sara Thorell saratho@student.chalmers.se .

Matilda Widlöf matwid98@gmail.com .

Old Exams

Link to Old Exams.

Program

The schedule of the course is in TimeEdit.

Additional information about the course can be found at Chalmers Student Portal.