This course is a self-contained treatment of the theory of probability and random processes with specific application to the theory of option pricing. Topics include axioms for probability, calculation of expectation by means of Lebesgue integration, conditional probability and conditional expectation, martingales, random walks, and the Black--Scholes formula for option pricing.
Meeting times: T & TH 1:30-2:45 PM
Contact Information:
Office: SC 235
Email: colindefant@gmail.com
Office Hours: TH 12:00-1:00 PM or by appointment
Textbook: Stochastic Calculus for Finance I The Binomial Price Model by Steven E. Shreve
Problem Set 1 (TBA)
Problem Set 2 (TBA)
Problem Set 3 (TBA)
Problem Set 4 (TBA)
Recorded Lectures (TBA)
Potential Sources for Final Projects (TBA)
(You are welcome to choose something that is not from this list!)