Syllabus

Syllabus:

From ?ksendal's book:

Ch. 2: All

Ch. 3: Sect. 3.1 and 3.2. From Thm 3.2.4 page 31 is not included

Ch. 4: All

Ch. 8: Sect. 8.6, pages 159-164, Thm 8.6.6 is included

From Benth's book:

Ch. 1: All

Ch. 2: All, except section 2.5 and 2.6

Ch. 3: All (this is in reality simply a soft version of chapters 2, 3 and 4 in ?ksendal)

Ch. 4: All, except page 79 (Malliavin derivative) and section 4.9

Ch. 5: Sect. 5.1 (Monte Carlo simulation), until subsection 5.1.3, page 105.

All exercises and the compulsory task are part of the required knowledge