MATH 606 - Advanced Stochastic Analysis for Finance
Section: 001
Term: FA 2017
Subject: Mathematics (MATH)
Department: LSA Mathematics
Waitlist Capacity:
With permission of instructor.
Advisory Prerequisites:
Strong background in Probability Theory (Math 625), Measure Theory, Real Analysis & Functional Analysis.
May not be repeated for credit.
Primary Instructor:

This is a PhD level course in Stochastic Analysis and applications to Quantitative Finance. The aim of this course is to teach the advanced probabilistic techniques and concepts from the theory of stochastic processes, in order to provide a sufficient knowledge base for the students to conduct research in Financial Mathematics. It is a research-level extension of Math 506.

For more information on this course, please visit the Department of Mathematics webpage

MATH 606 - Advanced Stochastic Analysis for Finance
Schedule Listing
001 (LEC)
TuTh 11:30AM - 1:00PM
Note: Enrollment for this course is by waitlist only. Preference will be given to PhD students in Mathematics.
NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.

Lecture notes will be posted online, but it is recommended to have access to the suggested textbooks by Karatzas-Shreve and Protter.
ISBN: 9780387976556
Brownian motion and stochastic calculus, Author: Ioannis Karatzas, Steven E. Shreve., Publisher: Springer-Verlag 2nd ed. 1991
ISBN: 9783540003137
Stochastic integration and differential equations, Author: Phillip E. Protter., Publisher: Springer 2. ed. 2004
ISBN: 9781441923110
Stochastic calculus for finance., Author: Steven E. Shreve., Publisher: Springer 1., ed. 20 2010
ISBN: 9780387950167
Stochastic calculus and financial applications, Author: J. Michael Steele., Publisher: Springer-Verlag 3. corr. p 2000
ISBN: 9781584884132
Financial modelling with jump processes, Author: Rama Cont ; Peter Tankov, Publisher: Chapman & Hall/CRC [Online-Au 2004
Syllabi are available to current LSA students. IMPORTANT: These syllabi are provided to give students a general idea about the courses, as offered by LSA departments and programs in prior academic terms. The syllabi do not necessarily reflect the assignments, sequence of course materials, and/or course expectations that the faculty and departments/programs have for these same courses in the current and/or future terms.

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