Class Notes
These lecture notes follow the course schedule. They live on the Stochastic Foundations for Finance site, and each chapter is available in HTML and as a PDF for printing.
Probability
| Topic | Date |
|---|---|
| Probability Basics | 10/20 |
| Conditioning and Independence | 10/20 |
| Continuous Distributions | 10/22 |
| Generating Functions | 10/27 |
Discrete-Time Processes
| Topic | Date |
|---|---|
| Ruin Probabilities | 10/29 |
| Martingales in Discrete Time | 11/3 |
Continuous-Time Processes
| Topic | Date |
|---|---|
| Poisson Processes | 11/5 |
| Brownian Motion | 11/10 |
| Stochastic Calculus | 11/12-17 |
Asset Pricing in Continuous Time
| Topic | Date |
|---|---|
| Modeling Stock Prices | 11/19 |
| Discount Factors in Continuous Time | 11/24 |
| Derivatives Pricing in Continuous Time | 12/1 |
| Pricing with Jumps | 12/1 |