Coursepage of ADVANCED STUDY OF ECONOMETRICS/STOCHASTIC CALCULUS, AN INTRODUCTION WITH APPLICATION/STOCHASTIC CALCULUS, AN INTRODUCTION WITH APPLICATION (GPP)

Information

Location: Room 523B Mita campus

Time slot: Wednesday 3rd period 1:00pm-2:30pm

Semester: Fall 2025

Supplementary class

None.

Description of the class

The course is an advancecd study of theoretical econometrics. The goal is to give an introduction to stochastic calculus. It starts with an introduction to probability space, continuous random variable, mean and variance. Then, we introduce Brownian motion which is the main theoretical tool of this course. Finally, we consider theoretical applications to financial price. However, this course is purely theoretical and does not require to study with a software or with data.

Prerequisites

Students must be familiar with probability space, continuous random variable, mean and variance.

Evaluation

The evaluation will be based one final take-home exam.

Class material

The class follows the notes.

Calendar

Final take-home exam

The final take-home exam should be printed or handwritten and handed to me in the final class. It is available here.