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.
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.