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.
Students must be familiar with probability space, continuous random variable, mean and variance.
The evaluation will be based one final take-home exam.
The class follows the notes.
The final take-home exam should be printed or handwritten and handed to me in the final class. It is available here.