IE 525A SPRING 2023

Stochastic Calculus

CRN 54714, Section A

This syllabus governs the first half (Section A) of the course (January 17-March 10)

  • 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 (2023-01-30) 20% of grade
Hourly Exam (2023-03-08) 20% of grade
Quizzes, Projects, Homework 60% of grade

Logistical notes: