Stochastic Calculus, Fall 2013



There will be one homework assignment per week, with some exceptions. An assignment is designed to take 10 hours or less. The early coding assignments may take more time for those not used to programming. Please let the instructor know if your are spending significantly more time than this.

Collaboration and cheating policy

The academic integrity policy of the Mathematics in Finance program applies to this class. Students may interact freely while doing assingments. This includes discussion of specific exercises and solution methods. But students must prepare solutions independently. Sharing of writeups, copying another student's work, or allowing your work to be copied are not allowed. Downloading of solutions from the web or uploading solutions to the web are not allowed. Code sharing is not allowed. Students may use code templates posted on this page but must create all other code themselves. To summarize: when preparing material to hand in, neither a borrower nor a lender be.

What to hand in

Please hand hardcopy of everything asked for. Do not email work to the instructor or the grader, unless you have received explicit permission to do so. Include printouts of your code, output, and plots. This makes it easier for the grader to make comments on the code or the printout. Please make the writeing easy to read, do not cram, use pen and reasonable handwriting. Typing is not necessary but allowed. Have some consideration for the aging professor with problem vision.

Coding standards

There are professional standards of coding that students should adhere to. Points may be added for good programming style and/or output clarity. Points may be deducted for poor programming or unclear output.

  • Everything should be scripted rather than done by hand. This includes drawing and labeling plots. Scripts call other scripts to avoid code duplication. This allows you to adjust experiments and fix mistakes easily at any stage of the work. It also allows you to hand in exactly what you wound up doing (after bugs corrected).
  • Plots should be drawn with careful sizing, labeled axes, legends, and titles with information about the data. The plot should explain itself so you don't have to remember. The same goes for printed output. If you want to compare two curves, put them in the same plot. A .pdf file generally has better resolution than a .png or .jpeg, and is clearer when printed.
  • Code should be easy to read. This means: lots of informative comments (e.g., not ... x = y # set x equal to y). You should have a definite set of naming conventions (caps or underscores to separate words, as in max_val or MaxVal or maxVal, not just maxval), consistent indention and curley brace rules (always two spaces, always 3 spaces, curley on the same line, curley on the next line, whatever), white space for allignment as you see fit (the templates have lots of that, you can decide what you think is most clear for you), white space (blank lines) between blocks of code. Whatever your conventions are, stick to them. Feel free to edit the template code to fit your preferred style conventions.


Assignment R files Due date
LaTeX source: assignment1.tex
Sept. 16
LaTeX source: assignment2.tex
Sept. 23
LaTeX source: assignment3.tex
Sept. 30
LaTeX source: assignment4.tex
coding.pdf Oct. 7
LaTeX source: assignment5.tex
No coding this week Oct. 21
LaTeX source: assignment6.tex
Oct. 28
LaTeX source: assignment7.tex
Assignment7.R Nov. 4
No assignment this week
LaTeX source: assignment8.tex
Correction posted.
no computing this week Nov. 18
LaTeX source: assignment9.tex
no computing this week Nov. 25
LaTeX source: assignment10.tex
no computing this week Dec 9
no computing this week never