Winter 2021 STAT 39010

Course: STAT 39010=FINM 34510

Title: Stochastic Calculus I

Instructor(s): Greg Lawler

Class Schedule: Sec 1: TR 3:30 PM–4:50 PM (Blended/TBA) (Meets concurrently with STAT 39000/FINM 34500 from January 11, 2021 through February 13, 2021.)

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.