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 Wiener processes, and the Black-Scholes formula for option pricing. Students will work in small groups to investigate applications of the theory and to prove key results.
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 and Financial Applications by J. Michael Steele
Problem Set 1 (TBA)
Problem Set 2 (TBA)
Problem Set 3 (TBA)
Problem Set 4 (TBA)
Problem Set 5 (TBA)
Recorded Lectures (TBA)
Potential Sources for Final Projects (TBA)
(You are welcome to choose something that is not from this list!)