IE 525 Spring 2022

IE 525 (Stochastic Calculus)

Section A

CRN 54714


This syllabus governs the first half (Section A) of the course (January 18-March 11)

  • Pairs Trading
  • Gaussian random variables
  • Central Limit Theorem
  • Brownian Motion
  • Returns and Log Returns
  • Information
  • Brownian Quadratic Variation
  • Ito Integration
  • Ito Formula

Grading policy: Final grades for the first half of the semester will be determined on the basis of the total numerical score (and will be curved).

Component Weight
Hourly Exam (2/14) 20% of grade
Hourly Exam (3/9) 20% of grade
Quizzes, Projects, Homework 60% of grade

Logistical notes: