PREREQUISITES:
Much of the material above will be briefly reviewed when needed; 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:
ADDITIONAL POLICIES:
Homework will be assigned regularly, with about a week to complete each assignment. Although you can discuss homework problems with me and other students from the class, everything you turn in should be your work. Copying another person's work or solutions found elsewhere (say, in books or on the internet) is cheating. Late submissions will not be accepted for any assignment.
The final exam will be take-home. On this exam you must work alone and use only your notes from this class.
If you want a math department computer account, please visit the class accounts page. You will have access to MATLAB, which is used for almost all computations I do for this class.
ADDITIONAL MATERIAL:
There are a great many free resources available on the web. Myron Hlinka at University of Winsdor has an aggregator site.
Other recommended books: