IE 526 (Stochastic Calculus)
Section F
CRN 53010
- Instructor: Richard Sowers (r-sowers@illinois.edu)
- Office: 104 Transportation Building
- Phone: (217) 333-6246
- Home page: https://publish.illinois.edu/r-sowers/ (this syllabus can be found there)
- Office Hours: M 9-10 AM and by appointment
- Class meets: F 9:00-11:50 AM in 101TB (Classroom C if you are in Chicago). The fourth Friday of every month I will teach from Chicago.
- head TA: Marzieh Abolhelm (abolhel2@illinois.edu)
- Texts (optional):
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) 2004th Edition
by Steven Shreve - Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) 1st Edition
by Steven Shreve - Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) (Volume 113) 2nd Edition
by Ioannis Karatzas , Steven Shreve
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) 2004th Edition
- Logistics: Piazza.com
- Safety information: http://police.illinois.edu/emergency-preparedness/run-hide-fight/resources-for-instructors/
Grading policy: Final grades will be determined on the basis
of the total numerical score achieved on exams and homework.
of the total numerical score achieved on exams and homework.
| Component | Weight |
| Last exam (April 27th, in class) | 30% of grade |
| Hourly Exam 1 (Feb 19, 4-5 PM, 1024 Chemistry Annex): | 20% of grade |
| Hourly Exam 2 (April 2, 4-5 PM, 1024 Chemistry Annex): | 20% of grade |
| Written homework: | 30% of grade. Written homeworks are due within the first 10 minutes of class. No late homeworks will be accepted. None. Can you turn your homework assignment in late? No. We grade some subset of the assigned homework. Some of this HW may involve some group coding assignments. |
Logistical notes:
- I will be away January. 19th. We will have 3 makeup classes
- 1/24, 1/29, from 4-5 in 101TB.
- 2/5, from 4-5 in 135 MEB
- Class will end at 11 AM on March 16th. I will be teaching from Chicago on that day.
- I will be teaching from Chicago April 13th.
- Class on March 9th will be in 1092 Lincoln Hall