Coursepage of BROWNIAN MOTION(GPP)

Information

Location: Room 542 Mita campus

Time slot: Wednesday 4th period 2:45pm-4:15pm

Semester: Fall 2024

Supplementary class

The class on Wednesday December 11th is postponed to Tuesday November 26th, with a different classroom 413, same time schedule 4th period 2:45pm-4:15pm.

Description of the class

The course gives the technical tools of stochastic calculus to conduct work in the industry or empirical research in finance with high-frequency data. 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.

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.