BIMSA

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.

2025年10月30日至 2026年01月22日

Weekday	Time	Venue	Online	ID	Password
周四	14:20 - 17:50	A7-201	Zoom 17	442 374 5045	BIMSA

Ordinary differential equations (ODEs) ; Basic probability theory

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.

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.

Undergraduate , Graduate

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中文