Shortcuts | Notes
This is a graduate level course at the Courant Institute of Mathematical Sciences, NYU.
Course information
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Instructor: David Li.
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Semester: Spring 2023.
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Outline: Bernoulli trials, weak convergence of rescaled random walk to Brownian Motion; Brownian motion and its simplest properties; Construction of Itô integral, Itô formula; Solution of simple SDEs, Black-Scholes SDE, Ornstein-Uhlenbeck process; Connection of stochastic calculus and partial differential equations, Feynman-Kac formula.
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Programming Language: Python.
Gradebook
Overall grade: A (1.50/1.50)
Item | Grade | Letter |
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Assignments | 97/100 | A |
Final | 60/60 | A |