Department of
Mathematics 203 Avery Hall University of Nebraska Lincoln Lincoln, NE 685880323 4024723731 (voice) 4024728466 (fax) 
EDU (Web Quizzes) Page for Stochastic Processes and Advanced mathematical Finance EDU: 489/889 Fall07 Dunbar


















Office Hours: 308 Avery
MondayWednesdayFriday: 10:30 AM  11:20 AM.
Other times by appointment, please email me to arrange a time.
Brief History of Mathematical Models in Finance Theory
Updated [an error occurred while processing this directive]
Covered on August 25, 2003, August 22, 2005, August 27, 2007
Options
Updated [an error occurred while processing this directive], ReFrozen
Covered on August 25, 2003, August 2426, 2005, August 29,31, 2007
Speculation and Hedging with Options
Updated [an error occurred while processing this directive], Frozen
Covered on August 29, 2003, August 26,30, 2005; September 5, 2007
Arbitrage
Updated [an error occurred while processing this directive] Frozen
Covered on September 3, 2003; August 30, 2005; September 7, 2007
Brief Remarks on Mathematical Models
Updated [an error occurred while processing this directive] Frozen
Covered on September 3, 2003; September 2, 2005; September 7,
10, 2007.
Randomness
Updated [an error occurred while processing this directive]
Frozen
Covered on September 12, 2007.
Simple Binomial Models for Financial Derivatives
Updated [an error occurred while processing this directive] Frozen
Covered on September 8, 2003; September 8, 2005; Covered on
September 14, 2007.
Binomial Tree Models for Financial Derivatives
Updated [an error occurred while processing this directive]
Frozen
Covered on September 10, 2003; September 10, 2005; September
17, 2007.
A Coin Tossing Experiment
Updated [an error occurred while processing this directive]
Frozen
Covered on September 12, 2003; September 12, 2005; September
19, 2007.
Ruin Probabilities
Updated [an error occurred while processing this directive]
Frozen
Covered on September 15, 2003, September 14, 16, 19 2005;
September 24, 26, 2007
Duration of the Game till Ruin
Updated [an error occurred while processing this directive] ReFrozen
Covered on September 17, 22, 2003; September 21, 2005;
September 26, 28, 2007.
Laws of Large Numbers
Updated [an error occurred while processing this directive]
Covered on September 24,26,29, 2003; September 23,
2005; October 1, 3, 2007. Frozen
Moment Generating Functions
Updated [an error occurred while processing this directive]
Covered on September 26, 2005; October 3,5, 2007. Frozen.
The Central Limit Theorem
Updated [an error occurred while processing this directive]
Covered on September 28, 30 2005; October 10, 12, 15, 2007. ReFrozen
The Excess of Heads over Tails, and the Arcsine Law
Updated [an error occurred while processing this directive]
Frozen
Covered on September 29, October 1, 3, 2003, October 3,5, 7,
10, 2005; October 17, 19, 2007.
The Law of the Iterated Logarithm
Updated [an error occurred while processing this directive]
Covered on October 6, 2003, October 12, 19, 2005. Frozen.
Intuitive Introduction to Diffusions Covered on October 24, 2007.
The Definition of Brownian Motion
Updated [an error occurred while processing this directive]
Covered on October 8, 10, 13, 2003; October 24, 2005; October
29, 27, 2007. Frozen.
Approximation of Brownian Motion
Updated [an error occurred while processing this directive]
Covered on October 15, 2003, October 26, 2005; November 2, 2007. Frozen.
Transformations of Brownian Motion
Updated [an error occurred while processing this directive]
Covered on October 17, 2003, October 28, 31, 2005; November 5, 2007. Frozen.
Hitting Times, Gambler's Ruin, and Max Value
Updated [an error occurred while processing this directive]
Covered on October 22, 2003, October 31, 2005; November 7, 2007. Frozen.
Path Properties
Updated [an error occurred while processing this directive]
Covered on October 22, 2003, October 31, 2005; November 9, 2007; Frozen.
Quadratic Variation of Brownian Motion
Updated [an error occurred while processing this directive]
Covered on October 24,27, 2003, November 4, 2005. Frozen.
Applications of Geometric Brownian Motion to Warrants
Ordinary Differential Equations and Euler's Method
Updated [an error occurred while processing this directive]
Covered on October 29, 2003.
Stochastic Differential Equations and EulerMaruyama Method
Updated [an error occurred while processing this directive]
Covered on October 31, 2003, November 9, 2005. Frozen.
Ito's formula and Stochastic Calculus
Updated [an error occurred while processing this directive]
Covered on November 3, 2003; November 11, 2005. Frozen.
Geometric Brownian Motion
Updated [an error occurred while processing this directive]
Covered on November 5, 2003, November 14, 2005. Frozen
Derivation of the BlackScholes Equation
Updated [an error occurred while processing this directive]
Covered on November 10,12, 2003, November 16, 18, 2005. Frozen.
Solution of the BlackScholes Equation
Updated [an error occurred while processing this directive]
Covered on November 14, 17, 19, 24 2003; November 21, 28,
2005. ReFrozen.
PutCall Parity Principle
Updated [an error occurred while processing this directive]
Covered on December 1, 2003, November 30, December 2, 2005. Frozen.
Implied Volatility
Updated [an error occurred while processing this directive]
Covered on December 1, 2003.
Sensitivity, Hedging, and the "Greeks"
Updated [an error occurred while processing this directive]
Covered on December 8,10, 2003; December 2, 2005. Frozen.
Limitations of the BlackScholes model
Updated [an error occurred while processing this directive]
Covered on December 12, 2003; December 5, 2005. Frozen
Selffinancing portfolios with examples
Introduction to Counting and Poisson Processes
Updated [an error occurred while processing this directive]
Covered on January 12, 14, 16, 2004.
The Poisson Approximation to the Binomial
Updated [an error occurred while processing this directive]
Covered on January 21, 2004.
Conditional Probability
Updated [an error occurred while processing this directive]
Covered on January 26, February 2, 2004.
Conditional Expectations
Updated [an error occurred while processing this directive]
Covered on February 2, 4,6 2004.
Random Sums
Updated [an error occurred while processing this directive]
Covered on February 9, 11, 2004.
Definition of Martingales and Basic Properties
Updated [an error occurred while processing this directive]
Covered on February 16, 18, 2004.
Stopping Times and the Optional Stopping Theorem
Updated [an error occurred while processing this directive]
Covered on February 18, 20, 2004.
Bounds on American Options
Updated [an error occurred while processing this directive]
Covered on February 23, 2004.
American Options
Updated [an error occurred while processing this directive]
Covered on March 3, 2004.
Boundary Conditions
Updated [an error occurred while processing this directive]
Covered on April 12, 14 2004.
Putting the American Put Problem in Linear Complementarity
Form
Updated
[an error occurred while processing this directive]
Covered on April 16, 2004.
Review of Markov Chains
Updated [an error occurred while processing this directive]
Review of Matrices
Updated [an error occurred while processing this directive]
Hidden Markov Models
Updated [an error occurred while processing this directive]
Covered in seminar, January 28, 2005.
Hidden Markov Models
Updated [an error occurred while processing this directive]
Covered in seminar, January 28, 2005.
Rumors Model Maple 10 Worksheet with maplets
The Stochastic Differential Equation for a JumpDiffusion Process
A Poisson Jump Volatility Model for Option Prices
A BlackScholes type equation for options on securities following a jumpdiffusion
Interest Rate Markets: Basic Definitions
A personal, eclectic and biased, annotated bibliography of books and articles about probability, stochastic processes and mathematical finance.
A personal, eclectic and biased bibliography of books I have noted or consulted while preparing the materials for the course.
Anonymous Feedback Page allowing students to email some anonymous comments, questions, criticisms, suggestions, or corrections or anything else about the course. All mail goes directly to me, but without names!
[an error occurred while processing this directive]
Steve Dunbar's Home Page, http://www.math.unl.edu/~sdunbar