A short undergraduate Course: Discrete-time models in mathematical finance (Credits: 2, Spring Term 2005) 

Tentative Syllabus

• Lectures: 19:00pm to 21:00pm every Thursday in J8-303.

• Text: Lamberton, D. and Lapeyre, B.: Introduction to Stochastic Calculus Applied to Finance. Chapman and Hall, London (1996).

• Instructor: Zenghu LI,  Office: J8-403(w),  E-mail: lizh@bnu.edu.cn 

• Language: Lectures are presented in Chinese.

• Website: http://math.bnu.edu.cn/~lizh

• Prerequisites: Elementary Probability.

• Homework: Homework of each week is due in class of the next week. Your graded homework will be returned to you on the next class. Please write logically and legibly, and show all your deductions in the solutions. No score will be given for identical copies of solutions. Homework should be written in Chinese. Late homework will not be accepted.

• Quizzes: During the term, there are several in-class quizzes. The main purpose of the quizzes is to help the instructor to adjust the speed and contents of the course according to your level of understanding. The result of each quiz would contribute about 5% to the final grade of the course. Please write logically and legibly, and show all your deductions in the solutions. No score will be given for identical copies of solutions. You are allowed to look into the textbook and your notes of the lectures in the quizzes. Quizzes should be written in Chinese. There is no makeup quiz.

• Final exam: There is a final exam. Please write logically and legibly, and show all your deductions in the solutions. No score will be given for identical copies of solutions. You are not allowed to look into the textbook and your notes of the lectures in the final exam. The final exam should be written in Chinese. There is no makeup exam.

• Grade: Your course grade will be determined by Homework (20%), Quizzes (20%), Final (60%).

• Attendance: Attendance is mandatory. 

Tentative Timetable  

Download lecture notes: [pdf file].

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