Class Notes

These are the lecture notes for FIN 5380. The notes follow closely the following textbooks:

• Back, K. (2010). Asset Pricing and Portfolio Choice Theory. Oxford University Press.
• Oksendal, B. (2010). Stochastic Differential Equations: An Introduction with Applications. Springer.
• Shreve, S. (2010). Stochastic Calculus for Finance II: Continuous-Time Models. Springer.
• Steele, J. M. (2001). Stochastic Calculus and Financial Applications. New York: Springer.