S T O C H A S T I C    A N A L Y S I S ,    F a l l    2 0 1 6

Lectures: Monday, 7.10pm - 9pm, in Warren Weaver Hall 109.

Lecturer: Paul Bourgade, office hours Wednesday 2-3pm, you also can email me (bourgade@cims.nyu.edu) to set up an appointment or just drop by (Warren Weaver Hall 603).

Optional problem session : Wednesdy, 5.30pm - 7pm, in Warren Weaver Hall 202, by Monty Essid.

Material. For the most theoretical part: chapters 1, 2, 3, 4, 5 from my lecture notes. Please let me know about the inaccuracies and typos you will find.
For some examples and motivations from mathematical finance: Stochastic Calculus and Financial Applications by Michael Steele.

Course description: introduction to continuous stochastic processes, connections with partial differential equations and emphasis on examples from mathematical finance.

Prerequisites: you need to be familiar with basic probability theory (random variables, conditional expectation, convergence types).

Grading: problem sets (40%), midterm (20%) and a final exam (40%).

Academic integrity: Unless explicitly stated in writing on the assignment, all homework in this class is individual. If assignments from different students have similarities that show one was copied from the other, both students will be penalized.

A tentative schedule for this course is:

Problem sets.