Teaching

 
 
Math/Stat 491, Introduction to Stochastic Processes, Autumn 2019

Math 491 will start with a review of conditional probability. Then I will discuss martingales and Markov processes (recurrence, stationary probabilities, etc.). This will be followed by the discussion of the relationship between the two classes of processes. Overall, the pace will be moderate and the class will be accessible to a wide audience.

Math 491 can be taken as a stand-alone course, or it can be taken as a gentle introduction to Math 492 because both martingales and Markov processes will be a part of the Math 492 syllabus (but at a higher level of sophistication than in Math 491).

See Canvas Web site for more information.  
 

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Math/Stat 492, Stochastic Calculus for Option Pricing, Winter 2020

Math 492 will be devoted to a specific application of stochastic processes to finance (Black-Scholes theory of option pricing). The course will be non-rigorous but it will be very challenging. The pace will be fast, even though minimal initial background would be required. The course will be between undergraduate and graduate in terms of expected maturity of the audience.

See Canvas Web site for more information.  
 

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