MAT 236A (Stochastic Dynamics) (Fall 2026)
Course Materials
A
critique of "quants" in Financial Times and a
response by
Steven E. Shreve from Carnegie Mellon University.
Complete slides for much of the background material
for this course are on my
MAT 235B page.
For complete proofs of fundamental theorems of asset pricing in discrete setting,
see
Chapter 4 of the
book
"Risk-Neutral Valuation" by
N. H. Bingham and R. Kiesel, Springer 2004.
Homework 1. Due Oct. 7.
P. Billingsley's 1974
paper on weak convergence of probability measures is still a good
exposition on Brownian motion as a limit of random walks. Same author's
book "Convergence of Probability Measures" (Wiley, 1999) is a classic on the
topic.