| Week | Date | Topic |
|---|---|---|
| 1 | 07/01/2021 | Introductory class |
| 2 | 12/01/2021, 14/01/2021 | Stochastic processes (Wiener processes) |
| 3 | 19/01/2021, 21/01/2021 | Ito calculus |
| 4 | 26/01/2021, 28/01/2021 | Derivative Securities |
| 5 | 02/02/2021, 04/02/2021 | The Black-Scholes-Merton PDE |
| 6 | 09/022021, 11/02/2021 | The Diffusion Equation, Midterm exam |
| 7 | 16/02/2021, 18/02/2021 | No class (Winter Study Break) |
| 8 | 23/02/2021, 25/02/2021 | The Black-Scholes Formula |
| 9 | 02/03/2021, 04/03/2021 | Finite Diffrence Method |
| 10 | 09/03/2021, 11/03/2021 | Variations of the Black-Scholes Formula |
| 11 | 16/03/2021, 18/03/2021 | American Options |
| 12 | 23/03/2021, 25/03/2021 | Binomial Pricing |
| 13 | 30/03/2021, 01/04/2021 | Exotic Options |
| 14 | 06/04/2021 | Option Replication |
The schedule is subject to change. Detailed recommendations for reading to complement the lecture notes will be given throughout the term.