Math A8200: Stochastic Calculus in Financial Engineering

Supervisor: Eli Amzallag

Review of probability theory, sigma algebras, filtrations, Gaussian processes, properties of Brownian motion, martingales, stopping times, Gambler's ruin, Ito calculus, stochastic differential equations, time change for martingales, Girsanov's Theorem, selected applications to mathematical finance; simulations incorporated at the discretion of the instructor. 4 HR./WK.; 4 CR.

Prerequisites: C or better in Math 38100 or departmental permission.

This course was created in the June 2023 AUR.