STAT 591 - Cheng Ouyang
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STAT591 - Advanced Topics: Stochastic calculus and applications to math finance (Spring 2019)

Instructor: Cheng Ouyang

Office Hours:

Time: Monday: 3:30-5pm; Friday: 2:30-4pm (or by appointment)
Location: SEO 502

Syllabus


Announcement:


Course Schedule (updated weekly):

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.

Homework:


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