| Chap. 1 General Probability Theory | |
| 1.1 Infinite Probability Spaces | 戴天時 ( cameldai AT mail.nctu.edu.tw ) |
| 1.6 Change of Measure | 劉彥君 ( hialan.liu AT gmail.com ) |
| Exercise CH1 | 戴慈 ( zzzamy1982 AT yahoo.com.tw ) |
| Chap. 2 Information and Conditioning | |
| 2.3 General Conditional | 李振綱 ( smallli777 AT yahoo.com.tw ) |
| Exercise CH2 | 戴慈 ( zzzamy1982 AT yahoo.com.tw ) |
| Chap. 3 Brownian Motion | |
| 3.2 Scaled Random Walks | 何俊儒 ( headoil AT hotmail.com ) |
| 3.3 Brownian Motion | 陳政岳 ( ntnucalculus AT yahoo.com.tw ) |
| 3.4 Quadratic Variation | 陸玉軒 ( luehihi AT hotmail.com ) |
| 3.5 Markov Property | 劉彥君 ( hialan.liu AT gmail.com ) |
| Vol1 4.3 Stopping Times | 李振綱 ( smallli777 AT yahoo.com.tw ) |
| 3.6 First Passage Time Distribution | 劉彥君 ( hialan.liu AT gmail.com ) |
| 3.7 Reflection Principle | 李振綱 ( smallli777 AT yahoo.com.tw ) |
| Exercise CH3 | 戴慈 ( zzzamy1982 AT yahoo.com.tw ) |
| Chap.4 Stochastic Calculus | |
| 4.2 Itô's Integral for Simple Integrands | 何俊儒 ( headoil AT hotmail.com ) |
| 4.3 Itô's Integral for General Integrands | 陳政岳 ( ntnucalculus AT yahoo.com.tw ) |
| 4.4 Itô-Doeblin Formula [pp137~145][pp145~153] | 劉彥君 ( hialan.liu AT gmail.com ) pp137~pp145 李振綱 ( smallli777 AT yahoo.com.tw ) pp145~153 |
| 4.5 Black-Scholes-Merton Equation | 顏妤芳 ( takashiny36 AT hotmail.com ) 何俊儒 ( headoil AT hotmail.com ) |
| 4.6 Multivariable Stochastic Calculus | 陳政岳 ( ntnucalculus AT yahoo.com.tw ) |
| 4.7 Brownian Bridge[~4.7.3][4.7.4~] | 劉彥君 ( hialan.liu AT gmail.com ) 4.7~4.7.3 李振綱 ( smallli777 AT yahoo.com.tw ) 4.7.4~Cor4.7.7 |
| Exercise CH4 | 戴慈 ( zzzamy1982 AT yahoo.com.tw ) |
| Chap. 5 Risk-Neutral Pricing | |
| 5.1 Intorduction 5.2 Risk-Neutral Measure[~5.2.1][5.2.2~] |
鍾明璋 (sam20_caretr AT hotmail.com ) 5.1 ~ 5.2.2 陳政岳 ( ntnucalculus AT yahoo.com.tw ) 5.2.2~ |
| 5.3 Martingale Representation Theorem | 顏妤芳 ( takashiny36 AT hotmail.com ) |
| 5.4 Fundamental Theorems of Asset Pricing[~pp229][pp230~] | 何俊儒 ( headoil AT hotmail.com ) ~pp229 劉彥君 ( hialan.liu AT gmail.com ) pp230~ |
| 5.5 Dividend-Paying Stocks | 李振綱 ( smallli777 AT yahoo.com.tw ) |
| 5.6 Forwards and Futures | 鄭凱允 ( scorpio42kimo AT yahoo.com.tw ) |
| Exercise CH5 | |
| Chap. 6 Connections with Partial Differential Equations | |
| 6.2 Stochastic Differential Equations | 陳博宇 ( boyuchen.iof96g AT nctu.edu.tw ) |
| 6.3 The Markov Property | 陳博宇 ( boyuchen.iof96g AT nctu.edu.tw ) |
| 6.4 Partial Differential Equations | 王薇婷 ( wt1207 AT hotmail.com ) |
| 6.5 Interest Rate Models[~6.5.2][6.5.2~] | 許嵐鈞 ( arashiclhsu AT gmail.com ) 林弘杰 ( hongjai.iof96g AT g2.nctu.edu.tw ) |
| 6.6 Multidimensional Feynman-Kac Theorems | 施嘉紋 ( recozax AT hotmail.com ) |
| Exercise CH6 | |
| Chap. 7 Exotic Options | |
| 7.1 Introduction 7.2 Maximum of Brownian Motion with Drift |
施嘉紋 ( recozax AT hotmail.com ) |
| 7.3 Knock-out Barrier Options | 王薇婷 ( wt1207 AT hotmail.com ) |
| 7.4 Lookback Options | 陳博宇 ( boyuchen.iof96g AT nctu.edu.tw ) |
| 7.5 Asian Options | 鄭凱允 ( scorpio42kimo AT yahoo.com.tw ) |
| Exercise CH7 | |
Chap. 8 American Derivative Securities |
|
| 林弘杰 ( hongjai.iof96g AT g2.nctu.edu.tw ) 林威辰 (c5170389 AT gmail.com) Example |
|
| 8.3 Perpetual American Put [~8.3.2][8.3.3] | 林弘杰 ( hongjai.iof96g AT g2.nctu.edu.tw ) 王薇婷 ( wt1207 AT hotmail.com ) 8.3.3 |
| 8.4 Finite-Expiration American Put | 施嘉紋 ( recozax AT hotmail.com ) |
| 8.5 American Call | |
| Exercise CH8 | |
Chap. 9 Change of Numeraire |
|
| 9.1 Introduction 9.2 Numeraire |
鄭凱允 |
| 9.3 Foreign and Domestic Risk-Neutral Measures [~9.3.3][9.3.4~] | |
| 9.4 Forward Measures | 林弘杰 |
| Exercise CH9 | |
Chap. 10 Term-Structure Models |
|
| 10.1 Introduction 10.2 Affine-Yield Models [~10.2.1][10.2.1~] |
|
| 10.3 Heath-Jarrow-Morton Model | |
| 10.4 Forward LIBOR Model | |
| Exercise CH10 | |
Chap. 11 Introduction to Jump Processes |
|
| 11.2 Poisson Process | 田宇正 |
| 11.3 Compound Poisson Process | |
| 11.4 Jump Processes and Their Integrals | |
| 11.5 Stochastic Calculus for Jump Processes | 范育誠 |
| 11.6 Change of Measure | |
| 11.7 Pricing a European Call in a Jump Model | |
| Exercise CH11 | |
Appendix |
|
| A.1 Countable Additivity | Yiling Lai ( yilinglai AT ntu.edu.tw ) |
Quick Review