國立清華大學 數學系

Section 1: Monday Dec 3, 9AM-12noon. Speaker: Prof. Marc Diener (University of Nice Sophia Antipolis) title: Model for stock prices as example of random walk and filtration Section 2: Friday Dec 7, 9AM-12noon. Speaker: Prof. Francine Diener (University of Nice Sophia Antipolis) title: Pricing and hedging options as example of conditional expectation,martingale and stochastic integral Section 3: Friday Dec 14, 9AM-12noon. Speaker: Prof. Francine Diener (University of Nice Sophia Antipolis) title: Barrier options as example of use of stopping time Note: 90 minutes lecture and 90 minutes lab exercises using Scilab in all 3 sections. Participants are expected to bring their own laptops for lab exercises. Please download Scilab from https://www.scilab.org/en/download/6.0.1 and install it on your laptop in advance.