Homework: Read the lecture notes, including the superficially treated Section 2.1 and make Exercises 1.4, 1.5, 1.8, 1.14. Lecture: Sections 1 and 2.1 (very briefly). Regularly updated! 1st half, old programme 1 Note that there is no lecture scheduled for April 2, the lecture of week 9 is scheduled for April 9. The study programme is as below, in particular valid for the second half. The recordings will appear on Canvas and should be available every week at the originally scheduled class hours (or earlier). Instead, there will be screen recordings of the lecture notes, together with detailed comments. Important! Due to the immensely fast spreading corona virus there will no regular lectures from week 8 on.

Note that a UvAnetID is required, so at least you have to be registered as a UvA student. If you missed this deadline you can use the late registration form. The UvA now wants all participants to be registered four weeks before the start of the course. Warning: sometimes there are problems with synchronizing files on surfdrive, so the file may not always be up to date, or a previous web address (url) has to be replaced with a newer one. There is a schedule, that will regularly be updated. You will be asked to present one of them, after which you will be questioned on different topics. You select your favourite ones! Criteria to consider: they should be interesting, non-trivial and explainable in a reasonably short time span.

Optional: for each part you may prepare three theorems together with their proofs. all important definitions and results (lemma's, theorems, etc.), but not those in sections that have not been treated. What do you have to know? The theory, i.e. For the oral exams appointments with the lecturers will be scheduled. The partial oral exams have equal weight. The homework results count for 40% of the final grade.

The final grade is a combination of the results of the take home assignments and the written or oral exam (first part, to be decided) and oral exam (second part). See also the map of Science Park and the travel directions. For up to date information on the lecture rooms, see. Spring semester: Thursdays, 09:00-10:45 in room G3.10 (exception: G5.29 on March 5), first lecture on Thursday 6 February 2020. You are allowed to work in pairs (a pair means 2 persons, not 3 or more), in which case one set of solutions should be handed in. Lecturers Asma Khedher (first half) and Peter Spreij (second half), assistance by Sven Karbach.Ĭompulsory! Strict deadlines: hand in during the lecture after you have been given the assignment, although serious excuses will always be accepted. Another interesting course, more theoretical, is Advanced Topics in Stochastic Analysis. The current course of the Dutch Master Program in Mathematics is taught by Daniel Valesin (RuG) and Christian Hirsch (RuG).Ī course that heavily relies on stochastic calculus is Interest rate models (the webpage is a bit outdated, but still fine for a first impression). In the past students were recommended to take also the course on Stochastic Processes, up to 2018 by Floske Spieksma (UL). These books form the main basis for the lecture notes that we use for the course. Yor,Ĭontinuous martingales and Brownian motion. Shreve,īrownian motions and stochastic calculus and D. Measure theory, stochastic processes at the level of the course Measure Theoretic Probability (2010 version) Know how to apply measure changes for continuous semimartingales (Girsanov's theorem) and are able to calculate the new drift,Īre able to compare SDEs and PDEs, and can calculate the probabilistic representation of solutions to PDEs,Īre able to solve problems, where knowledge of the above topics is essential. We treat the following topicsįrom martingale theory and stochastic calculus: martingales in discrete andĬontinuous time, the Doob-Meyer decomposition, construction and properties of the stochastic integral, Itô'sįormula, (Brownian) martingale representation theorem, Girsanov's theorem, stochastic differential equations and we will briefly explain their relevance for mathematical finance.Ĭan explain the theory and construction of stochastic integrals,Ĭan explain different solution concepts of SDEs, In this course we present this mathematical theory. Stochastic calculus is an indispensable tool in modern financial mathematics.

Intro to stochastic calculus