Stochastic Methods of Mathematical Finance I

GSM MF 792

This course provides the necessary background for using the general tools of stochastic calculus in the domain of mathematical finance. The topics include: information structures and financial markets (sample spaces, event trees, ó-algebras, and partitions), random variables and random processes, expected values and conditional expected values, probability distributions and change of measure, convergence of random variables, martingales and convergence of martingales, and the Brownian motion process.