Honors Theory of Probability

MATH-SHU.0238

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Course information

  • Instructor: Wei Wu.

  • Semester: Spring 2022.

  • Outline: Axioms of mathematical probability, combinatorial analysis; Binomial distribution, Poisson distribution, normal approximations, random variables, probability distributions; Random walks; Generating functions; Branching processes; Markov chains.

Gradebook

Overall grade: A (4.00/4.00)

Item Grade Letter
Homework A
Midterm 28/40
Final Presentation 17/20
Final Report 19/20

Projects

In a group of three, we investigated the application of Stochastic Calculus in Economics, specifically the derivation of Black-Scholes-Merton equation. You may access our presentation slides here. It was mainly focused on three parts: Brownian motion, stochastic calculus, and risk-neutral pricing (including the derivation of Black-Scholes-Merton equation). Our final report is titled Black-Scholes-Merton Equation and Risk-Neutral Pricing.