MATH-GA 2902
Stochastic Calculus
An application-oriented introduction to those aspects of diffusion processes most relevant to finance. Topics include Markov chains; Brownian motion; stochastic differential equations; the Ito calculus; the forward and backward Kolmogorov equations; and Girsanov?s theorem.
Topics
- Markov chains
- Brownian motion
- stochastic differential equations
- the Ito calculus
- the forward and backward Kolmogorov equations
- and Girsanov
Topics explicitly listed in official catalogue description
Sources
- Course catalogue ↗2026-2027