MSO4112 - Pricing and Stochastic Calculus
Here you can download:
Module
handbook
Coursework
Below are the lecture slides and exercises for the module.
Lectures:
Supplementary material:
Exercises:
Solutions:
Options and rational pricing
Exercises 1
Solutions 1
Binomial pricing
Exercises 2
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Solutions 2
Stochastic processes and nowhere differentiable functions
Exercises 3
Solutions 3
Gaussian white noise and Wiener process
Exercises 4
Solutions 4
Continuous Markov processes and the diffusion equation
Exercises 5
Solutions 5
Stochastic differential equations and integrals
Exercises 6
Solutions 6
Ito differentiation rule
Exercises 7
Solutions 7
The Black-Scholes theory
Exercises 8
Solutions 8
Revision
Mock exam