[944] HW deadline, and error at end of class

[Gautam Iyer]

Hi All,

A few students requested moving the homework deadline in order to allow
more time between office hours and the due date (and to avoid conflicts
with your other deadlines). Accordingly I can change all following
homework to be due Wed 8PM instead.

Please note -- I have another appointment after class on Tuesdays, so I
have to leave by about 12:05. So if you have questions about the
homework due Wednesday you may not be able to ask me on Tuesday. (But
you can during office hours on Monday, of course.)

In class today I made a mistake at the end:

    For the proof of theorem 8.4, you need to start out choosing

	1. X_0 = f(0, S_0)
	2. Δ_t = ∂_x f(t, S_t)

    (I made the second choice in class, but not the first.) Now if you
    follow through the calculations at the end you get

	d( e^{-rt} f(t, S_t) ) = d (e^{-rt} X_t )

    Combined with our choice 1, this implies X_t = f(t, S_t). Setting
    t = T implies X_T = f(T, S_T) = g(S_T), which is the payoff of the
    security. This implies X is a replicating portfolio. I will go over
    this again at the beginning of class Tuesday. (Hand written notes
    online have been corrected, but the video will be wrong obviously.)

Tomorrow at 1:30 I will go over parts of the midterm / talk about
general shortcuts. I have until 2:30, so if you have questions tomorrow
feel free to ask. (Note this will be on Zoom, and not in person)

Best,

Gautam

-- 
When a clock is hungry, it goes back four seconds.