Back to Tom Salisbury's Home Page

York University

GS/MATH 6910.03AF, Fall 1999

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 and MATH6602.03 in the grad calendar), mathematics or statistics students are encouraged to take the latter as well.

Instructor:

Tom Salisbury

Lectures:

S173 Ross, Wednesdays and Fridays, 10:00 - 11:30

Course Webpage

Office hours:

Monday 10:30-11:20, Friday 12:30-1:20.
If you need to see me outside these hours, you are welcome to drop by my office. If I am able to talk to you then, I will; if not we can arrange another time. Or you can e-mail to arrange an appointment.

Grading:

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, etc.). You'll write it up and give a 20 minute presentation to the class summarizing what you did.

Text:

Stochastic Differential Equations by Oksendal; 5th edition, Springer Verlag 1998.
This book has been ordered, and is available at the bookstore. I'll refer to it frequently. It is a textbook level introduction to stochastic calculus.

Other references: