IE 526 Spring 2020

IE 526 (Stochastic Calculus in Finance)

Section F

CRN 53010

  • 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.

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.