Description :

This is an introductory graduate sequence in stochastic processes. The course sequence is intended as an introduction to stochastic analysis for students of Mathematics, but also to students in Engineering, Economics or Finance that wish to sudy stochastic processes and their applications.

Math 271C

• Class:     M W F   11-11:50, in MSTB 122
• Office Hour: Mon. and Wed. after class

Homework:

Approximately 5 homeworks will be assigned and collected in class.  No late homework will be accepted. Each homework assignment will have the same weight in the final grade.

Exam:

There will be a final project in this class.

Grading:

Overall course letter grades will be based on project and homework according to the following weights:
Homework: 70%     Final: 30%

Prerequisites:

basic probability, multi-variate calculus, and differential equations.

Special Note:

The structure of the course is subject to change and will be adapted to the interest of the students; any changes will be announced in class.

Reference Books:

Oksendal, Stochastic Differential Equations, Springer. Cont, Financial Modeling with jump processes, Chapman & Hall. Bjork, Arbitrage Theory in Continuous Time, Oxford.

Tentative Syllabus 271C.

Solution Take Home.

Homework # 1.

Homework # 2.

Homework # 3.

Homework # 4.

TAKE HOME.