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MA451

Introduction to Stochastic Calculus

Historical course

Fall 2020

Topics

  • Conditional expectation and filtrations
  • stopping times and martingales
  • Brownian motion
  • Ito integration
  • stochastic differential equations and Feynman–Kac methods.

Readings

  • Financial Mathematics: A Comprehensive Treatment — G. Campolieti and R. N. Makarov (2014).
    Listed
Sources