IE 526 (Stochastic Calculus in Finance)
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: TR 11 AM -12:20 PM in 106B1 Engineering Hall
- head TA: Marzieh Abolhelm (abolhel2@illinois.edu)
- Texts (optional):
- Logistics: Piazza.com
- Safety information: http://police.illinois.edu/emergency-preparedness/run-hide-fight/resources-for-instructors/
Topics:
- Pairs Trading
- Review of Undergraduate Probability
- Gaussian Random Variables
- Central Limit Theorem
- Information
- Returns and Log Returns
- Brownian Motion
- Brownian Quadratic Variation
- Ito Calculus
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 |
| Hourly Exam (in class, March 5) | 25% of grade |
| Projects and Written homework | 25% 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. Some of this HW may involve some group coding assignments. |
Logistical notes:
- The first half (up to and including March 10) of the course will be taught by R. Sowers, the second half by M. Widdicks.