FINM 34500 / STAT 39000
Stochastic Calculus 
M 6:30 -- 9:30 , 174 Kent
Greg Lawler , 415 Eckhart,
e-mail: lawler at

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.