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Course information
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Instructor: Wei Wu.
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Semester: Spring 2022.
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Outline: Axioms of mathematical probability, combinatorial analysis; Binomial distribution, Poisson distribution, normal approximations, random variables, probability distributions; Random walks; Generating functions; Branching processes; Markov chains.
Gradebook
Overall grade: A (4.00/4.00)
Item | Grade | Letter |
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Homework | A | |
Midterm | 28/40 | |
Final Presentation | 17/20 | |
Final Report | 19/20 |
Projects
In a group of three, we investigated the application of Stochastic Calculus in Economics, specifically the derivation of Black-Scholes-Merton equation. You may access our presentation slides here. It was mainly focused on three parts: Brownian motion, stochastic calculus, and risk-neutral pricing (including the derivation of Black-Scholes-Merton equation). Our final report is titled Black-Scholes-Merton Equation and Risk-Neutral Pricing.