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School of Engineering
- Undergraduate major in Mechanical Engineering
- Undergraduate major in Systems and Control Engineering
- Undergraduate major in Electrical and Electronic Engineering
- Undergraduate major in Information and Communications Engineering
- Undergraduate major in Industrial Engineering and Economics
- Common courses
- School of Materials and Chemical Technology
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- School of Life Science and Technology
- School of Environment and Society
- 工学院，物質理工学院，環境・社会理工学院共通科目
- Liberal arts and basic science courses
- First-Year Courses
- School of Science
- School of Engineering
- School of Materials and Chemical Technology
- School of Computing
- School of Life Science and Technology
-
School of Environment and Society
- Department of Architecture and Building Engineering
- Department of Civil and Environmental Engineering
- Department of Transdisciplinary Science and Engineering
- Department of Social and Human Sciences
- Department of Innovation Science
- Graduate major in Technology and Innovation Management
- Common courses
- Liberal arts and basic science courses
- Academic unit or major
- Graduate major in Mathematics
- Instructor(s)
- Ninomiya Syoiti
- Class Format
- Lecture
- Media-enhanced courses
- Day/Period(Room No.)
- Tue5-6(H119A)
- Group
- -
- Course number
- MTH.C504
- Credits
- 1
- Academic year
- 2018
- Offered quarter
- 4Q
- Syllabus updated
- 2018/3/20
- Lecture notes updated
- 2019/1/29
- Language used
- Japanese
- Access Index
-
Lecture
Lecture 1 Continuous time stochastic processes: Martingale
2018.12.11(Tue.) 5-6Session
Lecture
Lecture 2 Stochastic Integral: Stochastic Integral/Ito formula
2018.12.18(Tue.) 5-6Session
Lecture
Lecture 3 Stochastic Differential Equations
2018.12.25(Tue.) 5-6Session
Lecture
Lecture 4 Option pricing(1): Cameron-Martin Maruyama Girsanov theorem/Martingale representation
2019.1.8(Tue.) 5-6Session
Lecture
Lecture 5 Option Pricing(2): Equivalent martingale measure/Black-Scholes formula
2019.1.15(Tue.) 5-6Session
Lecture
Lecture 6 American Options
2019.1.22(Tue.) 5-6Session
Lecture
Lecture 7 Interest rate: Interest rate market/Term structure
2019.1.29(Tue.) 5-6Session
Lecture
Lecture 8 Some advanced topics
2019.2.5(Tue.) 5-6Session
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