Chjan C. Lim
Course
Mathematics of Finance
RPI, Spring 2001. An options pricer applet from this course is available.
Fall semester 2006: Upper level Undergraduate course on Option Pricing based on a strong foundation of
stochastic processes and Arbitrage reasoning - go through first parts of Etheridge and Joshi;
basic probability concepts from chapter 2 of Lim and Nebus; some Monte-carlo methods from Lim and Nebus and from Joshi;
computational term project is worth 40%; regular student presentations and homeworks 20%, final exam 40%
options pricer applet
Spring semester 2007: Upper level Undergraduate / Graduate level course on Financial stochastic calculus and Simulations - go through most of Etheridge including proofs; detailed introduction to Monte-Carlo methods for finance
Fall semester 2007: Upper level Undergraduate / Graduate level course on Financial stochastic calculus and Simulations - go through most of Etheridge excluding proofs; detailed introduction to Monte-Carlo methods for finance Seminar discussions
Seminar 2
pdf format
Research paper on Generation of low discrepancy sequence in quasi Monte-Carlo by vortex statistics
in article dedicated to Lu Ting's 80th birthday
pdf format
Link to Monte-Carlo in Finance
go