Stochastic Analysis for Finance
This course provides a rigorous yet application-oriented introduction to stochastic analysis with a focus on financial applications. It combines essential probability theory, stochastic calculus, and financial modeling techniques. Students will first build a solid foundation in probability and martingale theory, then progress to stochastic calculus and its use in financial models, and finally explore advanced topics such as stochastic control, filtering theory, and incomplete information markets.
Lecturer
Date
30th October, 2025 ~ 22nd January, 2026
Location
| Weekday | Time | Venue | Online | ID | Password |
|---|---|---|---|---|---|
| Thursday | 14:20 - 17:50 | A7-201 | Zoom 17 | 442 374 5045 | BIMSA |
Prerequisite
Ordinary differential equations (ODEs) ; Basic probability theory
Syllabus
This course provides a rigorous yet application-oriented introduction to stochastic analysis with a focus on financial applications. It combines essential probability theory, stochastic calculus, and financial modeling techniques. Students will first build a solid foundation in probability and martingale theory, then progress to stochastic calculus and its use in financial models, and finally explore advanced topics such as stochastic control, filtering theory, and incomplete information markets.
Reference
1. Billingsley, P. *Probability and Measure*. Wiley, 1995.
2. Øksendal, B. *Stochastic Differential Equations: An Introduction with Applications*. Springer, 2003.
3. Karatzas, I., & Shreve, S. E. *Brownian Motion and Stochastic Calculus*. Springer, 1991.
4. Shreve, S. E. *Stochastic Calculus for Finance II: Continuous-Time Models*. Springer, 2004.
5. Pham, H. *Continuous-Time Stochastic Control and Optimization with Financial Applications*. Springer, 2009.
2. Øksendal, B. *Stochastic Differential Equations: An Introduction with Applications*. Springer, 2003.
3. Karatzas, I., & Shreve, S. E. *Brownian Motion and Stochastic Calculus*. Springer, 1991.
4. Shreve, S. E. *Stochastic Calculus for Finance II: Continuous-Time Models*. Springer, 2004.
5. Pham, H. *Continuous-Time Stochastic Control and Optimization with Financial Applications*. Springer, 2009.
Audience
Undergraduate
, Graduate
Video Public
No
Notes Public
Yes
Language
Chinese