MA451A: Introduction to Stochastic Calculus (Fall 2020)

Jan. 15, 2020
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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: Tuesdays 1:00 – 2:00 pm.The instructor will schedule these office hours as weekly open live Zoom invitations.
Any student requiring help with the course topics can attend these Zoom meetings.
E: gcampoli@wlu.ca

Lectures

All lectures will be virtual and asynchronously pre-recorded using Virtual Classroom
and/or Zoom within My Learning Space. All recorded lectures will be viewable in My Learning Space
for every Tuesday and Thursday lecture dates within the semester.

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

This course uses My Learning Space, https://mylearningspace.wlu.ca/. Material related
to the course, including lectures, homework, handouts, assignments, test information, etc., will be posted
there. Students are responsible for checking My Learning Space on a regular basis for important
announcements.

Evaluation

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

  • Quizzes: 10%
  • Assignments: 20%
  • Midterm Test : 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.