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2024-25 Fall - MAFS5010 - Stochastic Calculus

Course

Description

Random walk models. Filtration. Martingales. Brownian motions. Diffusion processes. Forward and backward Kolmogorov equations. Ito's calculus. Stochastic differential equations. Stochastic optimal control problems in finance.
Course period1/09/24 → 31/12/24
Course levelPG
Course formatLecture