MATH-GA.2903-001 Stochastic Calculus (2nd Half Of Semester)

---

1.5 points

Course Description

The goal of this half-semester course is for students to develop an understanding of the techniques of stochastic processes and stochastic calculus as it is applied in financial applications. We begin by constructing the Brownian motion (BM) and the Ito integral, studying their properties. Then we turn to Ito’s lemma and Girsanov’s theorem, covering several practical applications. Towards the end of the course, we study the linkage between SDEs and PDEs through the Feynman-Kac equation. It is important that students taking this course have good working knowledge of calculus-based probability.

Prerequisites

Multivariate calculus, linear algebra, and calculus-based probability.

Recent Offerings

TBA

Sample Exams

TBA

Recommended Texts

TBA