- 2016 Spring/Summer (Jan - May)
Basic measure theory, probability measures, expectations, conditional expectations, martingales, Brownian motion, stochastic calculus
1. Probability, A. N. Shiryaev, 2000, Springer
2. Probability and Martingales, D Williams, 1991, Cambridge
3. Probability: Theory and Examples, R Durrett, 2010, Cambridge
4. Brownian motion and stochastic calculus, Karatzas, Ioannis, and Steven Shreve.
5. Stochastic Calculus and Financial Applications, Michael Steele
Mid term and end term exam each of 25 marks. Home work 30 marks. Research presentation 20 marks.