ORF 527 Stochastic Calculus And Finance Professor: Patrick ...
ORF 527
Stochastic Calculus and Finance
Professor: Patrick Cheridito
Description/Objectives:
The course provides an introduction to continuous-time stochastic processes, stochastic integra-
tion and applications to finance. Topics covered include Gaussian processes, Brownian motion,
martingales, Itˆo integral and formula, stochastic differential equations, Girsanov theorem, rep-
resentation theorems, Feynman–Kac formula, option pricing and hedging `a la Black–Scholes.
Schedule/Classroom Assignment:
Lecture L01: 1:30 pm - 2:50 pm TTh
Location: E-223
Sample Reading List:
J. Michael Steele: Stochastic Calculus and Financial Applications
S.E Shreve: Stochastic Calculus for Finance I & II
I. Karatzas and S.E. Shreve: Brownian Motion and Stochastic Calculus
D. Revuz and M. Yor: Continuous Martingales and Brownian Motion
A.N. Shiryaev: Probability
P. Protter: Stochastic Integration and Differential Equations
Prerequisites:
ORF 526 or something similar
Grading:
Problem Sets: 50%
Final Exam: 50%
