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York University

GS/MATH 6910 3.0AF, Fall 2002

STOCHASTIC CALCULUS IN FINANCE
Course Outline


Prerequisites:

Calculus and some basic probability. In particular, Measure Theory is not assumed. This course is designed (and required) for the Diploma in Financial Engineering, which can be pursued in conjunction with either an M.A. or an M.B.A.. Other students are also welcome in the course.

Degree credit exclusions:

None. In particular, though there may be some overlap with the Measure Theory and Stochastic Processes courses (see MATH6280.03, MATH6602.03, or MATH 6604.03 in the grad calendar), mathematics or statistics students are encouraged to take the latter as well.

Instructor:

Tom Salisbury

Lectures:

Tuesdays, 11:30-2:30, in 129 CCB, with the normal 30 minutes of breaks.
Note that since several students have a class immediately beforehand, we will normally start at 11:40, take a 10 minute break roughly half way through, and then finish at 2:20.

Course Webpage

Office hours:

My schedule seems to be wildly unstable, so if you have questions about the course, the best thing is just to take your chances dropping by my office. Or to phone my office (or send e-mail to srainey@yorku.ca) to arrange an appointment.

Grading:

The midterm exam will last one hour. The project will be on a topic you select and clear with me, that must involve stochastic calculus in some way (applying it, explaining some results or ideas, ...) You must do it in groups of between two and four people. You can form your own group, or have me form a group for you. You will write it up (10-15 pages) and give a 15 minute presentation to the class summarizing the most important points of your report.

Text:

Stochastic Calculus and Financial Applications by J.M. Steele; Springer Verlag 2001.
This book has been ordered, and is available at the bookstore. I'll refer to it frequently. It does stochastic calculus, together with a reasonable amount of the financial and probabilistic background material. It takes a fairly relaxed approach, focusing on the ideas rather than on putting in every technical detail.

Other references: