PREREQUISITES:
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:
ADDITIONAL POLICIES:
Homework will be assigned regularly, with about a week to complete each assignment.
You may discuss homework problems with me and other students from the class. You may award yourself a point for every homework problem which you essentially solve, by your own judgment. You will be asked to report your total number of homework points as part of your final exam submission.
The final exam will be take-home. On this exam you must work alone and use only your notes from this class. Your solutions will be graded not only on correctness, but also on clarity, organization, and quality of writing.
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:
INSTRUCTOR:
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.