Skip to main content
Future Students Alumni Library Athletics & Recreation
 Mobile
Students
  • Studying & Academics
    • Academic Calendars and Governance
    • Academic Integrity
    • Advising and Support
    • Exams
    • Global Engagement and Exchanges
    • Graduate and Postdoctoral Studies
    • Library
    • Online Learning
    • Programs
    • Research
  • Student Life
    • Dean of Students
    • Dining on Campus
    • Equity, Diversity and Inclusion
    • Indigenous Student Services
    • International Student Support
    • Residence and Off-Campus Housing
    • Student Organizations
    • Sustainability
  • Wellness & Recreation
    • Athletics and Recreation
    • Gendered Violence Prevention and Support
    • Human Rights and Conflict Management
    • Safety
    • Student Wellness Centre
    • Wellness Education
  • Work, Leadership & Volunteering
    • Career and Employment Support
    • Community and Workplace Partnerships
    • Co-op
    • Innovation and Entrepreneurship
    • Experience Record
    • Working on Campus
    • Student Teaching Development
    • Volunteering
  • Registration & Finances
    • Convocation and Graduation
    • Enrolment Services
    • Financial Aid
    • Graduate Funding and Awards
    • Money Management
    • OneCard
    • Course Registration Guide
    • Scholarships and Bursaries
    • Tuition and Fees
  • Services & Spaces
    • Childcare Services
    • Classrooms and Spaces
    • Educational Technologies
    • Parking and Transportation
    • Printing Services
    • Prism Resources
    • Retail and Mail Services
    • Tech Services

    • Home
    • Programs
    • Science
    • Mathematics
    • MA451A: Introduction to Stochastic Calculus (Fall 2020)

    MA451A: Introduction to Stochastic Calculus (Fall 2020)

    Jan. 15, 2020
    Print | PDF

    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.

    Unknown Spif - $key
    Wilfrid Laurier University
    • Locations, Maps & Parking
    • Contact Us
    • Accessibility
    • Campus Status
    • Social Media Directory
    • Instagram
    • Twitter
    • Facebook
    • Linked In
    • Email
    • Youtube

    WILFRID LAURIER UNIVERSITY

    • Waterloo
    • Brantford
    • Milton
    • Kitchener

    © 2025 Wilfrid Laurier University

    We use cookies on this site to enhance your experience.

    By selecting “Accept” and continuing to use this website, you consent to the use of cookies.