MATH5635 Stochastic Calculus for Finance I
2025 Fall
Syllabus:
MATH5635 Fall 2025 Course OutlineNotes:
- Chapter 1: Probability Measure
- Chapter 2: Integrations and Convergence
- Chapter 3: Conditional Expectations
- Chapter 4: Martingales and Brownian Motions
- Chapter 5: Stochastic Calculus
- Chapter 6: Stochastic Differential Equations
- Chapter 7: Delta Hedging and Risk Neutral Pricing
References:
- Stochastic Calculus for Finance II: Continuous-Time Models, by Steven Shreve
- Stochastic Differential Equations: An Introduction with Applications, by Bernt Øksendal.
- Brownian Motion and Stochastic Calculus, by Ioannis Karatzas and Steven Shreve.
- Probability Essentials, by Jean Jacod and Philip Protter.
- Probability: Theory and Examples, by Rick Durrett.