• Lecture slides.
  • Practice problems related to the concepts discussed in class (these will be discussed during the tutorial sessions).

    • MAP2 includes: 

    Part II: Stochastic calculus.

    1. Basics: Probability spaces, σ–algebras, stochastic processes, filtrations, stopping times, martingales.
    2. Ito’s calculus: Ito’s integrals, diffusions, Ito’s formula.

    Part III: Black--Scholes model.

    1. Assumptions and discussion.
    2. Black--Scholes equation: PDE and martingale approaches.
    3. Option pricing via replication portfolio.
    For the MAP2 assessment, students are permitted to bring a single sheet of paper, which may be used on both sides. This sheet must be handwritten and may contain formulas, exercises, notes, or any other relevant information to aid them during the assessment.
    Only standard calculators will be allowed.

    Attachments