| Weeks |
Brief Description |
|
01/14 - 01/18
|
Review of Conditional probability and Martingales
|
|
01/21 - 01/25
|
Review of discrete time martingales
|
|
01/28 - 02/01
|
Review of discrete time martingales
|
|
02/04 - 02/08
|
Continuous time (sub, super) martingales
|
|
02/11 - 02/15
|
Brownian motion
|
|
02/17 - 02/22
|
Brownian motion, Ito's integration.
|
|
02/25 - 02/29
|
Ito's integration. |
|
03/04 - 03/08
|
Ito's integration and applications |
|
03/11 - 03/15
|
Applications of Ito's integration -- Levy's martingal Characterization
of BM, Exponential martingals. |
|
03/18 - 03/22
|
Applications of Ito's integration -- Girsanov
theorem, Martingale representation, Moment inequalities for martingales. |
|
04/01 - 04/05
|
Stochastic differential equations. |
|
04/08 - 04/12
|
Stochastic differential equations, Application in Finance
|
|
04/15 - 04/19
|
Application in Finance. |
|
04/22 - 04/26
|
Application in Finance. |
|
04/29 - 05/03
|
Application in Finance.
|