## Instructor:

## Semester:

- 2018 Spring/Summer (Jan - May)

Syllabus:

expectations, conditional expectations, martingales, Brownian motion, stochastic calculus, large deviations, weak convergence

References:

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

Grading:

Mid term and end term exam each of 25 marks. Homework 30 marks. Research presentation 20 marks.

Grader

Anand Deo