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- Lecture: OHE 132 + Virtual, Friday 1730h – 2020h, Instructor: Dr. Osonde Osoba
- Office Hours: Virtual/Friday 1630h - 1730h, Email: [email protected]
- Course Summary: Exploration of stochastic processes theory and applications with computation focus
- Pre-requisite: EE 518 – Tools for Financial Engineering
- Recommended texts: Gubner, Hsu, Glasserman, Ross, Grimmett, and Stirzaker
- Course Outline:
- AUG 21: Overview of Stochastic Processes
- AUG 28: Joint Descriptions, Expectations, Random Sequences, Random Walks
- SEP 04: Martingales, Probabilistic Limit Laws
- SEP 11: Monte Carlo, Variance Reduction, Importance sampling
- SEP 18: Markov Chains, Kolmogorov Equations, Ergodicity, MCMC
- SEP 25: Midterm I, Markov Chain Applications
- OCT 02: Linear Time-Invariant Systems, Mean-squared Calculus
- OCT 09: Poisson Processes, Compound Poisson
- OCT 16: Brownian Motion, Levy Processes, Stochastic integrals
- OCT 23: Stochastic Differential Equations, Ito Diffusions, Ito’s Lemma
- OCT 30: Midterm II, Project Proposals Due, Numerical Simulation
- NOV 06: Geometric BM, Black-Scholes, Girsanov Change of Measure
- NOV 13: Financial Applications, Monte Carlo Techniques in Finance
- NOV 20: Applications, Review
- DEC 04: Final Exam, Projects due
- Grading Procedure:
- Midterms (2 * 25 points)
- Final exam (30 points)
- Homework (10 points)
- Project (10 points)
- Course Grade: A (90-100), B (80-89), C (70-79), D (60-69), F (0-59)
- Academic Integrity and Support Systems:
- Cheating not tolerated
- Statement for Students with Disabilities
- Statement on Academic Integrity
- Academic Conduct, Plagiarism, and Discrimination policies
- Support systems for students, including writing help and disability services