Janko Gravner
3210 MSB (Mathematical Sciences Build.), 752-0825, gravner[at]math[dot]ucdavis[dot]edu.
Please use email only in genuine need. I will not be able answer emails about course materials and policies due to demands on my time. I may occasionally send a message through Canvas to the entire class with important announcements.
Office Hours: Mon. 2:10-3pm, Tue. 11-12am, Wed. 2:10-3pm. Tuesday's office hour will be remote throughout the quarter; the other two will be in-person.

PREREQUISITES:

• A working knowledge of abstract analysis, such as abstract measures, Lebesgue measures, integrals, monotone and dominant convergence theorems, Fubini's theorem, Radon-Nikodym theorem, and basics of differential equations.
• Some knowledge of probability, such as: measurable spaces, σ-algebras, independence and conditional expectation, convergence of random variables and probability measures, normal distributions, strong law of large numbers and the central limit theorem.
• Basic facts about stochastic processes in discrete time: martingales and Markov chains.

  Much of the material above will be briefly reviewed; be prepared to do some additional reading if you have not seen some of the above topics. No economics background is necessary.

TEXTBOOK: Stochastic Calculus and Financial Applications, by J. Michael Steele (Springer, 2010).

GRADE: Course grade will be based on the following:

• Homework, self-evaluated.
• Final Exam.