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MA651A: Stochastic Analysis (Fall 2017)

Calendar Description

This course introduces the fundamentals of stochastic calculus. Topics include probability measures and random variables; the Itô integral calculus; Itô's Lemma; Markov chains; random walks; the Wiener process; Brownian and geometric Brownian motion; filtrations; adaptive processes; Martingales and super-Martingales; the Martingale Stopping Time Theorem; Girsanov's Theorem and the Radon-Nikodym derivative; stochastic differential equations for single and multiple random processes; Kolmogorov equations and the Feynman-Kac Theorem. Applications include the modelling of continuous diffusion processes, and the development of solution techniques for stochastic differential equations. Topics may include stochastic optimization and jump processes.

Prerequisites

MA350; and ST359 (or MA340).

Exclusions

MA351.

Instructor

Professor G. (Joe) Campolieti (PhD)
Office: LH3073 (Lazaridis Hall)
Office hours: Monday and Wednesday 1 p.m. - 2 p.m., other times by appointment only.
Email: gcampoli@wlu.ca
Telephone: x2067

Lectures

Monday and Wednesday 11:30 a.m. - 12:50 p.m. in BA210 (Bricker Academic Building)

Textbook

Financial Mathematics: A Comprehensive Treatment, by G. Campolieti and R.N. Makarov, Chapman and Hall/CRC Financial Mathematics Series, CRC Press, Taylor and Francis Group, 2014.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA651 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

Evaluation

A final mark out of 100 will be calculated as follows:

  • Quizzes: 5%
  • Assignments: 25%
  • Midterm Exam (Monday, Oct. 30, 2017, 80 minutes, in class): 30%
  • Final Exam (2.5 hours, exact date, time and location to be announced): 40%

The final mark will be reported as a letter grade in accordance with the conversion table of the current undergraduate calendar.

This document is a summary of the course outline for MA651 and is provided for the convenience of students.