MA651A: Stochastic Analysis (Fall 2018)

Jan. 15, 2020
Print | PDF

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.

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 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 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 MA651 and is provided for the convenience of students.