The following is a collection of notes used in Math 5760 that may be useful for those who did not take the course last semester:
Summary of Chapters 1 and 2
Summary of Math 5760
Homework Assignment 1, due January 29, 2008. (Matlab code:
Homework Assignment 2: Problems 2.6 and 3.6 from Shreve, due 2/19/08.
Homework Assignment 3: Problems 4.8, and 4.9 (replaced by 4.10 for those in Math 6895) from Shreve, due 3/4/08.
Experimenting with CIR model for the short interest rate: here is the Matlab code cir.m
Homework Assignment 4, due 3/13/08.
Homework Assignment 5: Problems 5.1, and 5.5 from Shreve, due 4/1/08.
Homework Assignment 6, due 4/17/08.
Final Project, due 8 am, May 6, 2008.