Winter 2021 STAT 39000

Course: STAT 39000=FINM 34500

Title: Stochastic Calculus

Instructor(s): Greg Lawler

Class Schedule: Sec 1: TR 3:30 PM–4:50 PM (Kent 107 and Remote)

Description: The course starts with a quick introduction to martingales in discrete time, and then Brownian motion and the Ito integral are defined carefully. The main tools of stochastic calculus (Ito's formula, Feynman-Kac formula, Girsanov theorem, etc.) are developed. The treatment includes discussions of simulation and the relationship with partial differential equations. Some applications are given to option pricing, but much more on this is done in other courses. The course ends with an introduction to jump process (Levy processes) and the corresponding integration theory. Program requirement.