Ieor E4707: Financial Engineering: Continuous-time Models Introduction to Stochastic Calculus 1 Martingales and Brownian Motion Introduction to Stochastic Calculus 2 Quadratic Variation Introduction to Stochastic Calculus 3 Stochastic Integrals Introduction to Stochastic Calculus
چکیده
These notes provide an introduction to stochastic calculus, the branch of mathematics that is most identified with financial engineering and mathematical finance. We will ignore most of the “technical” details and take an “engineering” approach to the subject. We will cover more material than is strictly necessary for this course. Any material that is not required, however, should be of value for other courses such as Term Structure Models.