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MA451A: Introduction to Stochastic Calculus (Fall 2018)

Calendar Description

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem.

Prerequisites

MA250 and ST359.

Exclusions

MA351.

Instructor

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

Lectures

Monday, Wednesday and Friday 11:30 a.m. - 12:20 p.m. in 1C17 (Arts Building)

Textbook

G. Campolieti and R.N. Makarov, Financial Mathematics: A Comprehensive Treatment, 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 MA451 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 Test (Wednesday, Oct. 31, 2018, 5:30 p.m. - 6:50 p.m.): 30%
  • Final Exam (2.5 hours; exact date, time and location to be announced): 40%

Students must achieve a score of at least 40% of the marks available on the final examination to be eligible to pass the course. 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 MA451 and is provided for the convenience of students.