MATH5636 Stochastic Calculus for Finance II
2026 Spring
Syllabus:
MATH5636 Fall 2026 Course OutlineNotes:
- Chapter 1: Fundamental Theorems of Asset Pricing
- Chapter 2: Feynman Kac Formula
- Chapter 3: Asian Options
- Chapter 4: More About Brownian Motions
- Chapter 5: Barrier Options
- Chapter 6: Interest Rate Models
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.