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Stochastic Calculus
Syllabus
Brownian motion. Continous-time martingales. Itô integral. Itô formula. Stochastic Differential Equations. Martingale Representation and Backward Stochastic Differential Equations. Feynman-Kac Representation. Change of measure and Girsanov theory.
Bibliography
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Grimmett, G. R. and Stirzaker, D. R. (2001). Probability and Random Processes. Oxford.
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Steele , J. M. (2012). Stochastic Calculus and Financial Applications . Springer.
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Zhang, J. (2018) Backward Stochastic Differential Equations. Springer.
Exams
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Final grade: (P1 + P2)/2
Lecture notes:
TBA
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