- 2018 Spring/Summer (Jan - May)
expectations, conditional expectations, martingales, Brownian motion, stochastic calculus, large deviations, weak convergence
1. Probability, A. N. Shiryaev, 2000, Springer
2. Probability and Martingales, D Williams, 1991, Cambridge
3. Probability: Theory and Examples, R Durrett, 2010, Cambridge
4. Brownian motion and stochastic calculus, Karatzas, Ioannis, and Steven Shreve.
5. Stochastic Calculus and Financial Applications, Michael Steele
6. Large deviations, theory and applications. Dembo and Zeitounni
Mid term and end term exam each of 25 marks. Homework 30 marks. Research presentation 20 marks.