IE 525A SPRING 2024

Stochastic Calculus

CRN 54714, Section A

This syllabus governs the first half (Section A) of the course (January 16-March 8)


  • 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).

Hourly Exam (2023-02-12)20% of grade
Hourly Exam (2023-03-06)20% of grade
Quizzes20% of grade
Individual Theory Assignments20% of grade
Group Coding Assignments20% of grade

Logistical notes: