FINM 34500 / STAT 39000
M 6:30 -- 9:30 , 174 Kent
Greg Lawler , 415 Eckhart,
e-mail: lawler at math.uchicago.edu
This is an introduction to Brownian motion and stochastic calculus
primarily for students in the Masters of Financial Mathematics program. Topics
include: discrete time martingales, Brownian motion, definition of stochastic
integral, relation with partial differential equations (heat equation, Feynman-Kac
formula), martingale theory (Girsanov theorem, equivalent measures), basics
of European option pricing. As time permits we will discuss: American options
(optimal stopping), jump processes, fractional Brownian motion.
There will be weekly problems sets, a midterm on February 7, and a final
exam. The problem sets as well as the slides from lectures will be posted
on this site. The lectures will be posted after they are given. See Lecture
1 for more information about the course.
A CHALK website has been set up for this class. Homeworks can
be submitted electroncially to the website. In fact, I will require
this for all problem sets after the first. (The first can be returned
by hard copy in class or electronically). However, there is a strict
deadline for submission of the HW which is the beginning of the next lecture.
I have decided not to update this webpage --- please go to the
CHALK website for course information.