Instructor: Michael Taksar

Description: Stochastic processes and Brownian motion. Review of probability theory. Sigma-fields. General conditional expectations. Martingales. Stochastic and Rieman-Stiltjes integrals. Ito calculus. Stochastic differential equations. Exponential Brownian motion and stock price modeling. Mathematics of option pricing. (If time permits) Change of measure and its relation to option pricing.