CDS 270 / BEM 110: Stochastic Simulation in Finance

First term: Fall 2001

Time: Tuesday & Thursday, 10am-12 noon

Place: 125 Steele

Instructor: Yuji Yamada (with Peter Bossaerts)

Contact Information: Email: yuji@cds.caltech.edu, Phone: x3368

Office Hours: Mondays 1:30-2:30, or by appointment

Course website: http://www.cds.caltech.edu/courses/2001-2002/cds270-1/

Syllabus (pdf, ps)

Power point slides: 1st class (October 2, 2001), 2nd class (October 4, 2001)

3st class (October 9, 2001), 4th class (October 11, 2001)

5th class (October 16, 2001), 6th class (October 18, 2001)

7th class (October 23, 2001), 8th class (October 25, 2001)

9th class (October 30, 2001), 10th class (November 1, 2001)

11th class (November 13th, 2001), 12th class (November 15th, 2001)

13th class (November 20th, 2001), 14th class (November 27th, 2001)

15th class (November 29th, 2001), 16th class (December 4th, 2001)

17th class (December 6th, 2001)

Homework problems: Homework 1 (Due: by noon, October 19th, 2001) (PDF file)

Homework 2 (Due: by noon, November 6th, 2001) (PDF file)

Homework 3 (Due: by noon, November 27th, 2001) (PDF file)

Homework 4 (Due: by noon, December 6th, 2001) (PDF file)

Course Material: "Steven Shreve: Stochastic Calculus and Finance"

Course Description:

9 units (3-0-6) first term. Prerequisites: Some familiarity with statistics and probability theory.
An introduction to stochastic simulation in finance and economics. The focus is the underlying theory and computational tools for large scale simulations and stochastic processes in derivative pricing/hedging problems. Topics include basic probability theory, Markov processes, martingale theory, and stochastic control.

CDS Course List and Schedule

Control and Dynamical Systems

Yuji Yamada's Homepage